Modelling the Effect of Stock Market Volatility and Exchange Rate Volatility on Foreign Direct Investment in Nigeria: A New Framework Approach Author(s):

Asian Economic and Financial Review

Jokosenumi Saidat Omolola^1¹ 

[1] Federal University of Agriculture, Abeokuta PMB 2240 Department of Economics, Nigeria Federal University of Agriculture, Abeokuta PMB 2240 Department of Economics, Nigeria^1

关键词: Stock market volatility;    Exchange rate volatility;    Nigeria exchange rate;    Foreign direct investment;    Nigeria foreign direct investment Economic growth;    Krugman fireman hypothesis Keynesian aggregate demand theory;    Theories of investment;    Simple accelerato;   

DOI  :  10.18488/journal.aefr.2018.812.1482.1505

学科分类：社会科学、人文和艺术（综合）

来源: Asian Economic and Social Society

【 摘 要 】

Nigeria is in the forefront of African Nations who depend fully on foreign goods and services for consumption through high level of importation and has been one of the top destination countries for Foreign Direct Investment. Empirical literatures find mixed evidence of the effect of foreign direct investment (FDI) on stock market volatility and exchange rate volatility. This necessitates this research to investigate this gap and conclude based on this study result. This study employs the panel ARDL estimation technique to investigate the long run and short run effects of stock market volatility and exchange rate volatility on FDI in Nigeria using a time-series data which ranges (1990-2016). The ARCH/GARCH estimation technique was used to estimate the exchange rate volatility and stock market volatility values in which GARCH (1, 1) was employed. The pairwise granger causality test was used to check for the direction of relationship between FDI and (stock market volatility, exchange rate volatility). The result of the FDI ARDL equation reveals that there is a negative significant relationship between foreign direct investment (FDI) and exchange rate volatility (EXCHV) both short run and long run in Nigeria, and a positive insignificant relationship between stock market volatility (STMV) and foreign direct investment (FDI) of Nigeria in the long run but a positive significant relationship between stock market volatility (STMV) and foreign direct investment (FDI) of Nigeria in the short run.

【 授权许可】

CC BY