On the Reaction of Stock Market to Monetary Policy Innovations: New Evidence from Nigeria

Autor:	Abdul-Nasir T. Yola
Jazyk:	angličtina
Rok vydání:	2019
Předmět:	Monetary policy Stock market Aymmetric lcsh:Business lcsh:HF5001-6182 EGARCH
Zdroj:	Academic Journal of Economic Studies, Vol 5, Iss 2, Pp 94-98 (2019)
ISSN:	2457-5836 2393-4913
Popis:	The paper analysed the asymmetric effect of monetary policy to stock market in Nigeria. The study is conducted by using an EGARCH(X) model. The exogenous variable is a dummy variable which account for the monetary policy committee meetings of the central bank of Nigeria. All the parameters of the estimated model are statistically significant. The significance of the dummy variable in the mean and variance equation, couple with the significance of the asymmetric parameter provides empirical evidence that investors react to monetary policy innovation in Nigeria. The paper recommends for sound monetary policy that will develop and stabilize the stock market.
Databáze:	OpenAIRE
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