@article{ijefm2017526,
author={{Sokpo, Joseph Tarza and Iorember, Paul Terhemba and Usar, Terzungwe},
title={Inflation and Stock Market Returns Volatility: Evidence from the Nigerian Stock Exchange 1995Q1-2016Q4: An E-GARCH Approach},
journal={International Journal of Econometrics and Financial Management},
volume={5},
number={2},
pages={69--76},
year={2017},
url={http://pubs.sciepub.com/ijefm/5/2/6},
issn={2374-2038},
abstract={The paper investigated the effect of inflation on stock market returns on the Nigerian stock exchange market, employing a volatility modeling approach. Using monthly data on stock market returns and consumer price index inflation rate, the paper employed GARCH and E-GARCH volatility modeling techniques for analysis. The study found that CPI inflation is not an important variable in explaining stock market return volatility in Nigeria. The E-GARCH model did not find existence of asymmetry in the stock return series; that is good news and bad news have identical impact on stock returns in Nigeria. The GARCH model show high persistence in the stock returns series, though a shock to stock returns has only a temporary impact.},
doi={10.12691/ijefm-5-2-6}
publisher={Science and Education Publishing}
}