Abstract | Article Information:
An Econometric Analysis of the Impact of Macroecomomic Variables on Stock Market Movement in Nigeria
T.O. Asaolu and M.S. Ogunmuyiwa Corresponding Author: Michael Segun Ogunmuyiwa Key words: Granger causality, macroeconomic variables, stock market, , , , Vol. 3 , (1): 72-78 | Submitted | Accepted | Published | 2010 August, 31 | 2010 December, 18 | 2011 February, 15 | This study investigates the impact of macroeconomic variables on Average Share Price (ASP) and goes further to determine whether changes in macroeconomic variables explain movements in stock prices in Nigeria. Various econometric analysis such as Augmented Dickey Fuller (ADF) test, Granger Causality test, Co-integration and Error Correction Method (ECM) were employed on time series data from 1986-2007 and the results revealed that a weak relationship exists between ASP and macroeconomic variables in Nigeria. The findings further point that ASP is not a leading indicator of macroeconomic performance in Nigeria, albeit, a long run relationship was found between ASP and macroeconomic variables for the period under review. | Cite this Reference: T.O. Asaolu and M.S. Ogunmuyiwa, 2011. An Econometric Analysis of the Impact of Macroecomomic Variables on Stock Market Movement in Nigeria. Asian Journal of Business Management, 3(1): 72-78. | | | | | ISSN (Online): 2041-8752 ISSN (Print): 2041-8744 | | |