Modeling the Relationships Across Nigeria Inflation, Exchange Rate, and Stock Market Returns and Further Analysis
| Autor: | Chris U. Onyemachi, A. C. Akpanta, Idika E. Okorie, Johnson Ohakwe, D. C. Chikezie, M. C. Ugwu |
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| Rok vydání: | 2019 |
| Předmět: |
Inflation
020209 energy media_common.quotation_subject 02 engineering and technology 01 natural sciences Computer Science Applications 010104 statistics & probability Exchange rate Artificial Intelligence 0202 electrical engineering electronic engineering information engineering Economics Econometrics Business Management and Accounting (miscellaneous) Positive relationship Stock market Statistical analysis 0101 mathematics Statistics Probability and Uncertainty Value at risk media_common |
| Zdroj: | Annals of Data Science. 8:295-329 |
| ISSN: | 2198-5812 2198-5804 |
| Popis: | For the first time, a more detailed statistical analysis of the dependence across Nigeria inflation, exchange rate, and stock market returns is provided by means of copulas. A positive relationship is found to exist between Nigeria inflation and the exchange rate of Nigeria Naira versus USD, a negligible positive relationship exists between Nigeria inflation and her stock market returns, and a weak positive relationship exists between the exchange rate of Nigeria Naira versus USD and her stock market returns. Eighteen months forecast for each of the time series and the value at risk estimates for the Nigeria stock market returns are given. The Nigeria stock market is confirmed to be weak form inefficient. |
| Databáze: | OpenAIRE |
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