Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/142115
Authors: 
Abraham, Terfa W.
Year of Publication: 
2016
Citation: 
[Journal:] CBN Journal of Applied Statistics [ISSN:] 2476-8472 [Publisher:] The Central Bank of Nigeria [Place:] Abuja [Volume:] 7 [Year:] 2016 [Issue:] 1 [Pages:] 111-123
Abstract: 
This paper examines the effect of crude oil price movement on the Nigerian stock market and the role of exchange rate as a plausible countercyclical policy tool. Daily data on All Share Index of the Nigerian stock market, crude oil prices and exchange rate, were collected for two periods: 2008-2009 and 2012-2015. Results from the Autoregressive Distributed Lag (ADL) model show that oil prices are positively related with the performance of the Nigerian stock market thus would drag the market down in times of turmoil. Howbeit, devaluation of the naira is found to be effective in cushioning the effect of crude oil price decline on the stock market. Results from the granger causality test, however, suggest that this policy measure may not be potent as expected.
Subjects: 
Crude Oil Prices
Stock Market
Exchange Rate
JEL: 
Q32
G12
E52
Document Type: 
Article

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