EFFECT OF OIL PRICE VOLATILITY ON THE VOLATILITY OF THE NIGERIAN ALL SHARE INDEX

Agbo, Elias Igwebuike and Nwankwo, S.N.P (2019) EFFECT OF OIL PRICE VOLATILITY ON THE VOLATILITY OF THE NIGERIAN ALL SHARE INDEX. Journal of Accounting Information and Innovation, 5 (11). pp. 10-25. ISSN 4243 – 406X

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PUBLISHED PAPER ON THE EFFECT OF OIL PRICE VOLATILIT5Y ON THE VOLATILITY OF THE NIGERIAN ALL-SHARE INDEX.pdf
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Abstract

This paper examines the effect of oil price volatility on the volatility of Nigeria’s all –share index, usingmonthly frequency data that cover the period from January1997 to December 2016. It employs the EGARCH [1,1] methodology for data analysis.Average monthly exhange rates and inflation rates are introduced as control variables.The results of the study suggest that oil price volatility has a negative and significant effect on the volatility of all-share index.. The study advises market participants to target oil price movements as an important instrument for predicting the volatility of Nigeria’s stock market performance.

Item Type: Article
Subjects: H Social Sciences > HG Finance
Divisions: Faculty of Management and Social Sciences
Depositing User: mrs chioma hannah
Date Deposited: 06 Feb 2020 07:51
Last Modified: 06 Feb 2020 07:51
URI: http://eprints.gouni.edu.ng/id/eprint/2524

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