Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/142033
Authors: 
Ikoku, Alvan E.
Year of Publication: 
2010
Citation: 
[Journal:] CBN Journal of Applied Statistics [ISSN:] 2476-8472 [Publisher:] The Central Bank of Nigeria [Place:] Abuja [Volume:] 1 [Year:] 2010 [Issue:] 1 [Pages:] 17-38
Abstract: 
In an effort to address the lacuna in leading indicator studies of African economies and Nigeria in particular, this paper examines the causal relationships among stock market prices, real GDP and the index of industrial production in Nigeria, using quarterly data from 1984Q1 to 2008Q4. Granger causality tests indicate bidirectional causality between stock prices and GDP but no causality between stock prices and industrial production or between GDP and industrial production. Stock prices and GDP are found to be cointegrated, leading to the estimation of vector error correction models. Out-of-sample forecasts constructed with AR(1), ARIMA, structural ARIMA, and VEC models indicate that stock prices contain information that can be used to improve the accuracy of GDP forecasts and enhance the conduct of macroeconomic policy in Nigeria.
Subjects: 
Leading indicators
stock index
Granger causality
cointegration
vector error correction models
forecasting GDP
Nigeria
JEL: 
E32
E37
G15
G17
Document Type: 
Article

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