Paper Title :The Effect Of Exchange Rate Volatility On Share Price Fluctuations In Nigeria

Author :Apere Thankgod Oyinpreye, Karimo Tamarauntari Moses

Article Citation :Apere Thankgod Oyinpreye ,Karimo Tamarauntari Moses , (2015 ) " The Effect Of Exchange Rate Volatility On Share Price Fluctuations In Nigeria " , International Journal of Management and Applied Science (IJMAS) , pp. 88-94, Volume-1,Issue-7

Abstract : This study examined the impact of exchange rate volatility on share price fluctuations in Nigeria. applying a GARCH (1,1) model and the granger causality test on monthly dataset spanning 1985:1 to 2012:4 the results showed that whereas exchange rate expectation has positive impact on stock returns the impact of exchange rate volatility was statistically not significant. Further results showed that information flow has significant impact on exchange rate uncertain. This model is robust to serial correlation and further ARCH effect as indicated by the ARCH LM test for serial correlation and the LM test for ARCH effect. However, exchange rate volatility impacts negatively on share price fluctuations. Also, there exists a unidirectional causality running from share prices to exchange rate. The study therefore conclude that although exchange rate expectations help to predict returns on share prices exchange rate volatility had a negative impact on share price fluctuations in Nigeria. Keywords – Exchange rate, Fluctuations, Returns on Share prices, Volatility

Type : Research paper

Published : Volume-1,Issue-7

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