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dc.contributor.authorIzunobi, A. O.
dc.date.accessioned2019-09-13T11:09:07Z
dc.date.available2019-09-13T11:09:07Z
dc.date.issued2019-05
dc.identifier.citationIzunobi, A. O. (2019) Macroeconomic variables and stock market returns volatility in Nigeria (Doctorate's Thesis, Federal University of Technology, Owerri)en_US
dc.identifier.urihttp://futospace.futo.edu.ng/xmlui/handle/123456789/3082
dc.descriptionA Master's Thesisen_US
dc.description.abstractGARCH (1, 1) and the E- GARCH (p, q) techniques were used in this study to evaluate the volatility clustering in the stock market returns. Interest rates, inflation rates and exchange rates were themacroeconomic determinantfactors to stock market returns volatility in Nigeria, covering the period, 1995 to 2014. The study revealed that inflation, interest rates and exchange rates were volatile and move in clusters, with the following valuesof GARCH coefficient β 0.966349, 0.9662 and 0.764638 respectively, with p-values significant at 1% level. The research also showed that interest rate has a negative relationship with stock market returns, with a correlation coefficient of –0.5531,while inflation and exchange rates have a positive relationship with stock market returns, with correlation coefficients of 0.6872 and 0.6161 respectively. There is high and persistent volatility in the stock market returns, based on the values of the α 0.460889 and β 0.682731coefficients.Interest rates, inflation rates and exchange rate exerted significant impact on the stock market returns volatility in Nigeria, at 1% level of significance. Models developed in this study should be employed by the regulatory authorities to make polices that will minimize volatility, by keeping interest rates low thereby stabilizing exchange rate and managing inflation within the single digit range, to minimize stock market returns volatility in Nigeria.en_US
dc.description.sponsorshipFederal University of Technology, Owerrien_US
dc.language.isoenen_US
dc.publisherFederal University of Technology, Owerrien_US
dc.subjectMacroeconomic Variablesen_US
dc.subjectStock Market Returnsen_US
dc.subjectVolatility Clusteringen_US
dc.subjectMonthly Seriesen_US
dc.titleMacroeconomic Variables and Stock Market Returns Volatility in Nigeriaen_US
dc.typeThesisen_US


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