Foreign Exchange Rates Dynamics and Stock Price Behavior in Nigeria:

مرکز و کتابخانه مطالعات اسلامی به زبان های اروپایی

منو

" Foreign Exchange Rates Dynamics and Stock Price Behavior in Nigeria: "
Oloyin-Abdulhakeem, Bashirat Oluwafunke Abdullahi, I. B.

Document Type	:	Latin Dissertation
Language of Document	:	English
Record Number	:	1105221
Doc. No	:	TLpq2303231460
Main Entry	:	Abdullahi, I. B.
	:	Oloyin-Abdulhakeem, Bashirat Oluwafunke
Title & Author	:	Foreign Exchange Rates Dynamics and Stock Price Behavior in Nigeria:\ Oloyin-Abdulhakeem, Bashirat OluwafunkeAbdullahi, I. B.
College	:	Kwara State University (Nigeria)
Date	:	2019
student score	:	2019
Degree	:	Ph.D.
Page No	:	204
Abstract	:	The interdependence between foreign exchange rates dynamics and stock price behavior has been a debatable phenomenon all time long. It has also been an area of concern among foreign and local investors in building efficient hedging strategies and optimum portfolio. However, sectoral response to foreign exchange rate dynamics differs across sectors on the NigerianStock Market. Against this background, the studyinvestigates the effects of foreign exchange rate dynamics on stock price behavior of the Banking, Consumer Goods, Insurance and Oil and Gas Sectors in Nigeria. The specific objectives are to: (i) examine the causal relationship between foreign exchange rate and stock prices of different sectors in Nigeria; (ii) investigate the effects of foreign exchange rate dynamics on stock prices of different sectors in Nigeria; (iii) examine the volatility spillover effects of exchange rate on sectoral stock returns in Nigeria; and (iv) examine the volatility transmission effects among the banking, consumer goods, insurance and oil and gas sectors stock returns in Nigeria.Weekly and Monthly secondary data of the selected sectors were sourced from the Nigerian Stock Exchange and Central Bank of Nigeria between 2008 and 2018. The study employed Autoregressive Distributed Lag (ARDL) model to examine the effects of foreign exchange rate and other macroeconomic determinants, while Exponential Generalized Autoregressive Distributed Conditional Heteroskedasity (EGARCH) model was used to examine the volatility spillover effects of foreign exchange rates onthe selected sectors stock returns. Lastly,the BEKK-GARCH and the Dynamic Conditional Correlation (DCC) was used to examine the volatility transmission among the sectors. Findings revealed that: (i)
Subject	:	Economics
	:	Finance