Modeling the Relationships Across Nigeria Inflation, Exchange Rate, and Stock Market Returns and Further Analysis

I. E. Okorie, A. C. Akpanta, J. Ohakwe, D. C. Chikezie, C. U. Onyemachi, M. C. Ugwu

Research output: Contribution to journalArticlepeer-review

6 Scopus citations

Abstract

For the first time, a more detailed statistical analysis of the dependence across Nigeria inflation, exchange rate, and stock market returns is provided by means of copulas. A positive relationship is found to exist between Nigeria inflation and the exchange rate of Nigeria Naira versus USD, a negligible positive relationship exists between Nigeria inflation and her stock market returns, and a weak positive relationship exists between the exchange rate of Nigeria Naira versus USD and her stock market returns. Eighteen months forecast for each of the time series and the value at risk estimates for the Nigeria stock market returns are given. The Nigeria stock market is confirmed to be weak form inefficient.

Original languageBritish English
Pages (from-to)295-329
Number of pages35
JournalAnnals of Data Science
Volume8
Issue number2
DOIs
StatePublished - Jun 2021

Keywords

  • Archimedean copula
  • Elliptical copula
  • Forecast
  • Macroeconomic variables
  • Nigeria
  • Probability distributions

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