Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/306731 
Year of Publication: 
2022
Citation: 
[Journal:] CBN Journal of Applied Statistics [ISSN:] 2476-8472 [Volume:] 13 [Issue:] 2 [Year:] 2022 [Pages:] 79-115
Publisher: 
The Central Bank of Nigeria, Abuja
Abstract: 
This study examines the link between market risk and equity return in Nigeria between 1980 to 2019. It employs the vector error correction model (VECM) to determine the short run dynamics and long run effect of market risk factors on stock return. The findings revealed that a dynamic relationship exists between market risk factors and stock returns in Nigeria. Also, exchange rate risk and oil price risks have significant influence on stock return, while inflation and interest rate risk, and political instability risks have a non-significant impact on stock return. Finally, a unidirectional relationship was detected between interest rate, oil price, political instability and stock return. The study concludes that market risk factors of exchange rate, oil price, interest rate and political instability risks are major determinants of stock return in Nigeria. It is recommended that rational investors seeking maximum returns should minimize market risk factors by diversifying their portfolios and study the risk behaviour and level in the market before taking investment decisions.
Subjects: 
Granger causality
market risk factors
Nigeria
stock return
VECM
JEL: 
B22
C32
E44
Persistent Identifier of the first edition: 
Document Type: 
Article

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