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Modelling Share Price Behaviour in Nigeria

Author

Listed:
  • Darlington Osaremwinda Ogbeide

    (University of Benin, Benin City, Nigeria)

  • Osazee Frank Ogieva

    (University of Benin, Benin City, Nigeria)

Abstract

The study examines the relationship between selected variables (interest rate, exchange rate, money supply, real domestic product, inflation rate, crude oil price and political instability) and share price behaviour in Nigeria ranging from 1985-2016. The study adopted the a-Augmented Dickey-Fuller unit root and the Johansen co-integration test. Error Correction Model was employed to determine the short run impact of the variables and multivariate ordinary least square (ols) with an ar (1) error fitted to the data to determine the long run impact of the variables. The study revealed that crude oil price, money supply and real domestic product have significant impact on share price behaviour in the short run while all the selected variables (interest rate, exchange rate, money supply, real domestic product, inflation rate, crude oil price and political instability) have no significant impact on share price behaviour in the long run. The study also reveals a negative relationship between interest rate, exchange rate, inflation rate and political instability and share price behaviour in the short run while in the long run, all the variables are positively related to share price behaviour except exchange rate and political instability which had negative relationships.

Suggested Citation

  • Darlington Osaremwinda Ogbeide & Osazee Frank Ogieva, 2017. "Modelling Share Price Behaviour in Nigeria," Annals of the University of Petrosani, Economics, University of Petrosani, Romania, vol. 17(1), pages 169-186.
    • Handle: RePEc:pet:annals:v:17:y:2017:i:1:p:169-186
    as

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    References listed on IDEAS

    as
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    More about this item

    Keywords

    Share Price Behaviour; Interest Rate; Money Supply; Inflation Rate; Crude Oil Price; Political instability; Real Gross Domestic Product; Exchange Rate;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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