The Impacts of Inflation Dynamics and Global Financial Crises on Stock Market Returns and Volatility: Evidence from Nigeria

Asian Economic and Financial Review

关键词: Inflation;    Global financial crises;    Stock Returns;    Volatility;    GARCH;    Multivariate regressors.;   

学科分类：社会科学、人文和艺术（综合）

来源: Asian Economic and Social Society

【 摘 要 】

The paper investigates the impacts of inflation dynamics and global financial crises on Stock market returns and volatility in Nigeria.The data sets on monthly All Shares Index Prices of NSE, and consumers’ price index (CPI) cover the period of January, 1985 to December, 2010. The GARCH (1, 1) model with multivariate regressors were adopted and the result shows that in the conditional mean equation; inflation exerts insignificant positive impact on stock market returns, inflation volatility exerts significant positive impact on stock market returns and during the global financial crises, inflation exerts significant negative effect on stock market returns. In the conditional variance equation, both inflation and its volatility have negative effects on the volatility of stock market returns, though significant for inflation and insignificant for inflation volatility. And during the global financial crises, inflation has significant positive impact on the conditional variance of stock market return.The result implies that stock market returns can serve as a good hedge against volatile inflation, but this hedging propensity tends to be illusive if external shocks like the global financial crises affect the stock market condition negatively. However, it becomes imperative for investors to pay attention to variation of inflationary changes when predicting stock market returns and its vulnerability.

【 授权许可】

CC BY