IMPACT OF BRENT PRICE VOLATILITY ON THE VOLATILITY OF THE MARKET VALUE OF SHARES TRADED IN NIGERIA

Agbo, Elias Igwebuike and Nwankwo, S.N.P (2019) IMPACT OF BRENT PRICE VOLATILITY ON THE VOLATILITY OF THE MARKET VALUE OF SHARES TRADED IN NIGERIA. European Journal of Accounting, Finance and Investment, 5 (11). pp. 48-62. ISSN 3466 – 7037

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PUBLISHED PAPER ON THE IMPACT OF OIL PRICE VOLATILITY ON THE VOLATILITY OF THE MARKET VALUE OF SHARES TRADED IN NIGERIA.pdf
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Abstract

This study examines the effect of oil price volatility on the volatility of Nigeria’s market value of shares traded 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 market value of shares traded in Nigeria. The study advises market participants to target oil price movements as an important instrument for predicting the volatility of Nigeria’s stock market returns.

Item Type: Article
Subjects: H Social Sciences > HF Commerce
H Social Sciences > HF Commerce > HF5601 Accounting
Divisions: Faculty of Management and Social Sciences
Depositing User: mrs chioma hannah
Date Deposited: 06 Feb 2020 08:03
Last Modified: 06 Feb 2020 08:03
URI: http://eprints.gouni.edu.ng/id/eprint/2525

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