Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/237425 
Year of Publication: 
2020
Citation: 
[Journal:] CBN Journal of Applied Statistics [ISSN:] 2476-8472 [Volume:] 11 [Issue:] 1 [Publisher:] The Central Bank of Nigeria [Place:] Abuja [Year:] 2020 [Pages:] 87-110
Publisher: 
The Central Bank of Nigeria, Abuja
Abstract: 
This study tests the Portfolio Balance Theory (PBT) for Nigeria for the period starting from September, 1997 to September, 2018. It extends the hypothesized linear inverse relationship between exchange rate and stock price to include asymmetries and structural breaks. It further examines the impact of the 2008 global financial crisis on the PBT to determine its stability after the crisis. The full sample results show that the PBT holds for Nigeria and asymmetries and structural breaks matter in the nexus between stock price and exchange rate. However, the impact of stock price on exchange rate diminished in the long-run with the advent of the 2008 global financial crisis, thus eroding the relative consistency of the PBT after the crisis. The sensitivity of the Nigerian exchange rate to stock price changes calls for the strengthening ofthe stock market performance through relevant policies including the enhancementof portfolio diversification and risk-hedging assets. The role of asymmetries shouldnot also be jettisoned in predicting exchange rate with stock prices to obtain accurate forecast results.
Subjects: 
Asymmetries
exchange rate
global financial crisis
portfolio balance theory
stock price
structural breaks
JEL: 
F31
G11
Persistent Identifier of the first edition: 
Document Type: 
Article

Files in This Item:
File
Size
168.42 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.