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Examining the Effects of Oil Price Long Memory and Exchange Rate Long Memory on Stock Market Behavior in Nigeria

Author

Listed:
  • Adedoyin Isola Lawal

    (Department of Accounting and Finance, Landmark University, Omu Aran, Nigeria,)

  • Samuel Olatunde Dahunsi

    (Sustainable Management of Natural Resources and Environment Research Group, Faculty of Environment and Labour Safety, Ton Duc Thang University, District 7, Ho Chi Minh City, Vietnam,)

  • Abiola Ayopo Babajide

    (Department of Banking and Finance, Covenant University, Ota, Nigeria,)

  • Abiola John Asaleye

    (Department of Economics, Landmark University, Nigeria,)

  • Joseph Ojo Iseolorunkanmi

    (Department of Political Sciences, University of Kwazulu-Natal, South Africa,)

  • Henry Inegbedion

    (Department of Business Studies, Landmark University, Nigeria)

  • Charles O. Manasseh

    (Department of Banking and Finance, University of Nigeria, Nsuka,)

  • Bukola, B. Lawal-Adedoyin

    (Department of Accounting and Finance, Landmark University, Omu Aran, Nigeria.)

Abstract

The study examined the effect oil price long memory and exchange rate long memory on Nigeria's stock. We have used ARMA estimating techniques to assess whether one or both variables exert impact on the stock market in Nigeria. Our result shows that long memory stock price is driven by a long memory of the exchange rate and long stock of the oil price. We therefore recommend that policymakers pursue policies aimed at stabilizing, on the one hand, the exchange rate regime and ensuring the economy has a position in net oil exportations. We also recommend the development of portfolio strategies by market practitioners so that long-term memory in exchange rates as well as in oil pricing are considered when making investment decisions.

Suggested Citation

  • Adedoyin Isola Lawal & Samuel Olatunde Dahunsi & Abiola Ayopo Babajide & Abiola John Asaleye & Joseph Ojo Iseolorunkanmi & Henry Inegbedion & Charles O. Manasseh & Bukola, B. Lawal-Adedoyin, 2020. "Examining the Effects of Oil Price Long Memory and Exchange Rate Long Memory on Stock Market Behavior in Nigeria," International Journal of Energy Economics and Policy, Econjournals, vol. 10(4), pages 430-436.
    • Handle: RePEc:eco:journ2:2020-04-54
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    Citations

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    Cited by:

    1. Naomi Pandiangan & Sukono Sukono & Endang Soeryana Hasbullah, 2021. "Quadratic Investment Portfolio Based on Value-at-risk with Risk-Free Assets: For Stocks of the Mining and Energy Sector," International Journal of Energy Economics and Policy, Econjournals, vol. 11(4), pages 175-184.
    2. Taufeeque Ahmad Siddiqui & Haseen Ahmed & Mohammad Naushad & Uzma Khan, 2023. "The Relationship between Oil Prices and Exchange Rate: A Systematic Literature Review," International Journal of Energy Economics and Policy, Econjournals, vol. 13(3), pages 566-578, May.
    3. Felicia C. Abada & Charles O. Manasseh & Ifeoma C. Nwakoby & Ngozi Franca Iroegbu & Johnson I. Okoh & Felix C. Alio & Adedoyin I. Lawal & Onyinye J. Asogwa, 2021. "Relationship Between Unemployment Rate and Shadow Economy in Nigeria: A Tado-Yamamoto Approach," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 12(3), pages 271-283, May.

    More about this item

    Keywords

    Exchange rate; oil prices; Share prices; long memory; ARMA;
    All these keywords.

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • O40 - Economic Development, Innovation, Technological Change, and Growth - - Economic Growth and Aggregate Productivity - - - General

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