Macroeconomic Variables and Capital Market Performance: Evidence from Nigeria
研究了1985至2013年尼日利亚宏观经济变量（利率、通胀率、汇率、实际GDP）与股市指数之间的关系，发现长期均衡存在但短期影响不显著，仅汇率单向影响股市。
The study aims at determining the causalities, correlation, cointegration and the relationship between the Nigeria Stock Exchange All Share Index(ASI), which is the proxy for capital market performance and macroeconomic variables proxied by monetary policy rate, inflationary rate, foreign exchange rate and real gross domestic product from 1985 to 2013. Granger Causality procedure was applied in determining the causalities, multiple regression model in the form of Ordinary Least Square (OLS) method was applied in evaluating the relationship between the dependent and independent variables while correlation technique was applied in ascertaining the strength of the relationship. Johansen cointegration procedure was applied in testing the sustainability of the relationship in the long run. To test for stationary of the data series, the Augmented Dickey Fuller (ADF), Phillips-Perron (PP) and the Kwiatkowski-Phillips-Schmidt-Shin (KPSS) procedures were applied. All the series were non stationary. Except for real gross domestic product which was differenced at second difference, all the other variables were differenced at first difference. Inflationary rate, exchange rate and the log of real GDP are negatively but insignificantly related to the log of All Share Index while interest rate is positively but not significantly related to All Share Index. No causality was revealed in lag 2 but in lag 1, there is a unidirectional causality running from log of All Share Index to foreign exchange rate. Johansen cointigration reveals a long run relationship among the variables. The implication of the findings is that effective regulation of macroeconomic policies, in the direction of the findings of this study, could impact positively on the performance of the capital market.