This study explored the casual nexus between stock return volatility and selected macroeconomic variables in an emerging stock market from 1981 to 2018. The study specifically reviewed the effect of industrial production and exchange rate on stock return volatility. The result of the Johansen Co-integration indicates the presence of a casual nexus between stock return volatility and selected macroeconomic variables in an emerging stock market in the long run. The granger causality impact assessment test revealed index of industrial production and exchange rate as the statistically significant macroeconomic variables that influence stock return volatility to a high extent. The result on the significant effect of industrial production and exchange rate lays credence to the existence of a positive and statistically significant relationship on stock return volatility. Investors are admonished to adjust their securities relative to changes in macroeconomic instability with regard to the index of industrial production which determines the level of industrial activities in an economy over a given period.
Adeniji, S. O. (2015). An Empirical investigation of the relationship between stock
market prices volatility and macroeconomic variables’ volatility in Nigeria. European Journal of Academic Essays, Vol. 2(11), 1 – 12.
Arestis, P., Luintel, A. D. & Luintel, K. D. (2001). Financial structure and economic growth. Centre for Economic and Public Policy Working Paper No. 06/05
Atoi, N. V. (2014). Testing volatility in Nigeria stock market using GARCH Models. Central Bank of Nigeria Journal of Applied Statistics, Vol. 5(2), 65 – 79.
Baker, S. R., Bloom, N., Davis, S. J., & Kost, K. (2019). Policy News and stock market volatility. Hoover Institution Economics Working Paper. 19105
Cunado, E. J., Gomez, B. J., & Perez, G. F. (2006). Financial liberalization and emerging stock market volatility. Retrieved from www.tandfonline.com.
Demir, C. (2019). Macroeconomic determinants of stock market fluctuations: The case of bist-100. Journal of Economies, Vol. 7(8), 1-14.
Demirer, R., Guota, R., Lv, Z. & Wong, W. K. (2019). Equity return dispersion and stock market volatility; Evidence from multivariate linear and nonlinear casuality tests. Journal of Sustainability, Vol.11(351), 1-15.
Elshareif, E. E., Tan, H. B., & Wong, M. F. (2012). Unexpected volatility shifts and efficiency of emerging stock market: The case of Malaysia, Business Management Dynamics, Vol.1(10), 58 – 66.
Emenike, K. O. & Okwuchukwu, O. (2014). Stock market return volatility and macroeconomic variables in Nigeria. International Journal of Empirical Finance, Vol.2(2), 75 – 82.
Eskandar, T. (2005). Modeling and forecasting Egyptian stock market volatility before and after price limits. The Economic Research Forum Working Paper No. 0310.
Fernando, A. (2018). Macroeconomic Impact on Stock Market Returns and Volatility: Evidence from Sri Lanka. Business and Economic Journal, Vol.9(4), 1-15.
Frimpong, J. M., & Oteng-Abayie, E. F. (2006). Modeling and forecasting volatility of returns on the Ghana stock exchange using GARCH Models. America Journal of Applied Sciences, Vol.3 (10), 2042 – 2048.
Haider, S. K. A., Haider, S. H., & Ahmed, I. (2017). Systematic risk factors and stock return volatility. Applied Studies in Agribusiness and Commerce Scientific Paper, 11(1-2), 61-70.
Hasan, A., & Zaman, A. (2017). Volatility nexus between stock market and macro- economic variables in Bangladesh: An extended GARCH approach. Scientific Annals of Economics and Business, Vol.64(2), 233-243.
Hongyu, P., & Zhichao, Z. (2006). Forecasting financial volatility: Evidence from Chinese stock market. Working Paper in Economics and Finance, No.06/02. University of Durham.
Jareno, F., & Negrut, L. (2016). US stock market and macroeconomic factors. Journal of Applied Business Research, Vol.32(1), 325-340.
Khalid, W., & Khan, S. (2017). Effects of macroeconomic variables on the stock market volatility; The Pakistan experience. International Journal of Econometrics and Financial Management, Vol.5(2), 42-59.
Lucas, E. R. (1981) Studies in Business –Cycle theory. Cambridge Mass: MIT Press.
Mala, R., & Reddy, M. (2007). Measuring stock market volatility in an emerging economy. International Research Journal of Finance and Economics, Vol.8(l), 126-133.
Mechri, N, Ben Hamad, S., Peretti, C., & Charfi, S (2019). The Impact of the Exchange Rate Volatilities on Stock Markets Dynamics: Evidence from Tunisia and Turkey. Hal Archives –Ouvertes. 01766742v2
Mele, A. (2008). “Understanding Stock Market Volatility: A Business Cycle Perspective” Working Paper London School of Economics.
Moore, H. G. (1983). Business Cycles, Inflation and Forecasting. Ballinger Cambridge 2nd edition.
Ndwiga, D., & Peter, W. M. (2016). Stock returns and volatility in an emerging equity market: Evidence from Kenya. European Scientific Journal, Vol.12(4), 56 – 68.
Nyong, M. O. (2003). Predictability and volatility of stock returns in three emerging markets: Nigeria, South Africa and Brazil. Nigeria Journal of Economics
In-Text Citation: (Okonkwo & Jude, 2019)
To Cite this Article: Okonkwo, & Jude, J. (2019). Volatility Of Stock Return And Selected Macroeconomic Variables: Evidence From Nigeria Stock Exchange. International Journal of Academic Research In Business And Social Sciences, 9(6), 185–201.
Copyright: © 2019 The Author(s)
Published by Human Resource Management Academic Research Society (www.hrmars.com)
This article is published under the Creative Commons Attribution (CC BY 4.0) license. Anyone may reproduce, distribute, translate and create derivative works of this article (for both commercial and non-commercial purposes), subject to full attribution to the original publication and authors. The full terms of this license may be seen at: http://creativecommons.org/licences/by/4.0/legalcode
