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Reilly, F.K. & Brown, K.C., (2003). Investment analysis: portfolio management (Seventh edition) Thomas South Western, Ohio, USA.

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Article

Inflation and Stock Market Returns Volatility: Evidence from the Nigerian Stock Exchange 1995Q1-2016Q4: An E-GARCH Approach

1Benue State University Makurdi, Nigeria

2University of Ibadan, Ibadan-Nigeria


International Journal of Econometrics and Financial Management. 2017, Vol. 5 No. 2, 69-76
DOI: 10.12691/ijefm-5-2-6
Copyright © 2017 Science and Education Publishing

Cite this paper:
Joseph Tarza Sokpo, Paul Terhemba Iorember, Terzungwe Usar. Inflation and Stock Market Returns Volatility: Evidence from the Nigerian Stock Exchange 1995Q1-2016Q4: An E-GARCH Approach. International Journal of Econometrics and Financial Management. 2017; 5(2):69-76. doi: 10.12691/ijefm-5-2-6.

Correspondence to: Paul  Terhemba Iorember, Benue State University Makurdi, Nigeria. Email: piorember1990@gmail.com

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 EGARCH 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 EGARCH 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.

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