文章基本信息

标题：Exchange Rate Volatility and Stock Market Behaviour: The Nigerian Experience
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作者：Adaramola Anthony Olugbenga
期刊名称：European Journal of Business and Management
印刷版ISSN：2222-2839
电子版ISSN：2222-2839
出版年度：2012
卷号：4
期号：5
页码：31-39
语种：English
出版社：The International Institute for Science, Technology and Education (IISTE)
摘要：This study examines the long-run and short-run effects of exchange rate on stock market development in Nigeria over 1985:12009:4 using the Johansen cointegration tests. A bi-variate model was specified and empirical results show a significant positive stock market performance to exchange rate in the short-run and a significant negative stock market performance to exchange rate in the long-run. The Granger causality test shows a strong evidence that the causation runs from exchange rate to stock market performance; implying that variations in the Nigerian stock market is explained by exchange rate volatility.
关键词：Johansen Cointegration Tests; Granger Causality Test; Exchange Rate Volatility; Stock Market performance.