Does inflation have an impact on stock returns and volatility? Evidence from Nigeria and Ghana

Aliyu, Shehu Usman Rano

doi:10.1080/09603107.2011.617691

Cited by 26 publications

(14 citation statements)

References 15 publications

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“…On the other hand, external factors include the monetary policy which influences macro-economic variables like inflation and money supply. These have been proven by Anokye&Tweneboah, 2008 [2]; Chen, Roll & Ross, 1986 [3] among others, to have significant influence on changes in stock returns.…”

Section: Introductionmentioning

confidence: 87%

A Test of Asymmetric Volatilityin the Nigerian Stock Exchange

Niyi¹

2016

IJEFM

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This study seeks to test for the presence of asymmetric effect in the Nigerian Stock Exchange. In order to achieve the objective of the study, the researcher obtains the average market return, the equilibrium market returns generated by the risk factors of the APT, and then subjects them to asymmetric tests using the TAR-GARCH technique. Findings from the study reveal that equilibrium market return generated by pre-specified APT does not significantly respond to information asymmetry. This implies that is volatility does not really change with information. However, the equilibrium market return generated by statistical APT exhibits the presence of information asymmetry whereby the volatility of stock returns significantly responds to information. This reveals the presence of leverage effect in the Nigerian stock market whereby stock returns volatility increases with bad news but the volatility reduces with good or positive news. The researcher recommends that government agents in respect of this market should provide more adequate means of information diffusion into the market at zero cost to all participants.

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Section: Introductionmentioning

confidence: 87%

A Test of Asymmetric Volatilityin the Nigerian Stock Exchange

Niyi¹

2016

IJEFM

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“…Onwukwe, Samson and Lipcsey (2014) studied modeling and forecasting daily returns volatility of Nigerian Banks Stocks and the results revealed the existence of volatility clustering, leptokurtic distribution and leverage effect in the daily returns of Nigerian Banks Stocks. Aliyu (2009) in his study opined that volatility clustering, leptokurtic distribution and leverage effect exist in the daily returns of Nigerian stocks.…”

Section: Review Of Literaturementioning

confidence: 98%

Arma-Arch Modeling Of The Returns Of First Bank Of Nigeria

Akpan

Moffat

Ekpo

2016

ESJ

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This study looks at a possible combination of both the ARMA and ARCH-types models to form a single model such as ARMA-ARCH that will completely model the linear and non-linear features of financial data. The data used for this study are daily closing share prices of First Bank of Nigeria plc from January 4, 2000 to December 31, 2013 and were obtained from the Nigerian Stock Exchange. The share price series was found to be nonstationary while the returns series which is the first difference of log of the share price series was found to be stationary. This study provides evidence to show that ARMA(2,2) model is found to be adequate in the modeling the linear dependence in the returns of First Bank of Nigeria while the ARCH(1) model is adequate in modeling the changing conditional variance in the returns of First Bank of Nigeria. Therefore, combining the two models results in a single ARMA(2,2)-ARCH(1) model that completely models the returns series of First Bank of Nigeria. Keywords: ARMA model; ARCH model; linear dependence; conditional variance; First Bank of Nigeria IntroductionLinear time series models are not good models for describing certain characteristics of a volatility series in that in ARMA models, it is assumed that linear dependence is present in the observations. Also, assumption of homoscedasticity is not appropriate when using financial data. For instance, returns typically exhibit linear dependence as such ARMA models are natural candidates for modeling the linear dependence in financial data. However, financial data frequently exhibit volatility clustering leading to the violation of the assumption of constant variance thus making a way for the

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“…Kang and Pflueger (2015, pp.115-117) found evidence that the effects of inflation can help explain, at least, a direct variation in credit spreads, in addition to volatility in stocks (e.g. Aliyu (2012)) and in the dividend index-price. As Kang and Pflueger (2015) argued:…”

Section: Ii3 Bank-funded Researchesmentioning

confidence: 99%

Inflation and innovation value: How inflation affects innovation and the value strategy across firms

et al. 2021

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This research analyzes the effects of inflation on R&D investments and innovation-driven growth. For this, an innovation-driven growth model was built in which firms invest own resources and resources from financial institutions. Credit costs depend on the interest rate charged by these institutions. In an inflation-targetingregime, the monetary authority adjusts the nominal interest rate in order to converge current inflation to the established target. It adjusts the interest rate of financial institutions, changing the opportunity cost of investments. As a result, rising inflation promotes a reduction in R&D investments demand, reducing the rate of technological progress. In the empirical exercise of the model, the estimated coefficient of elasticity of R&D investments is negatively affected by inflation.

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Does inflation have an impact on stock returns and volatility? Evidence from Nigeria and Ghana

Cited by 26 publications

References 15 publications

A Test of Asymmetric Volatilityin the Nigerian Stock Exchange

A Test of Asymmetric Volatilityin the Nigerian Stock Exchange

Arma-Arch Modeling Of The Returns Of First Bank Of Nigeria

Inflation and innovation value: How inflation affects innovation and the value strategy across firms

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