Symmetric and asymmetric effects of crude oil price and exchange rate on stock market performance in Nigeria: Evidence from multiple structural break and NARDL analysis

Okere, Kingsley Ikechukwu; Muoneke, Obumneke Bob; Onuoha, Favour Chidinma

doi:10.1080/09638199.2021.1918223

Cited by 29 publications

(23 citation statements)

References 78 publications

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“…Therefore, the results reveal that PCEC and PCCI follow the I(0) series while the remaining predictors follow the I(1) series, leading the study to proceed with the estimation of the bound test to examine any long-run nexus among them. Moreover, the unit root results support the model specification discussed earlier, and thus, it computes both symmetric and asymmetric ARDL models, that are appropriate for mixed integrating orders of I(0) and I(1) without any I(2) series [66] and [67].…”

Section: Unit Root Analysissupporting

confidence: 81%

Assessing the asymmetric war-growth nexus: A case of Afghanistan

2022

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This study explores the war-growth nexus in Afghanistan, a country where war-torn acts inform resource allocation. Employing the asymmetric ARDL, dynamic multipliers, and asymmetric causality techniques, the initial results confirm the existence of a long-run asymmetric nexus amid predictors. The asymmetric ARDL results indicate that a positive asymmetric shock from the per capita cost of war reduces per capita GDP—that is, economic growth—while a negative asymmetric shock from the per capita cost of war increases growth in the short and long run. Moreover, the findings reveal that per capita capital investment, per capita energy consumption, per capita household consumption, per capita remittance, per capita foreign direct investment, population growth, and inflation rate have significantly asymmetric effects on growth, highlighting non-monotonic impacts in scale and magnitude. The results of the asymmetric causality technique by bootstrap confirm that there is an asymmetric bidirectional causality between growth, per capita cost of war, per capita household consumption, per capita capital investment, and per capita foreign direct investment, while expanding only unidirectional causality with per capita remittance, population growth, and inflation rate. Based on the findings, the study concludes by offering relevant policy recommendations.

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Section: Unit Root Analysissupporting

confidence: 81%

Assessing the asymmetric war-growth nexus: A case of Afghanistan

2022

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“…The brief discussion on Table-5 demands an in-depth investigation to find out hidden association between variables, as this can be further tested by using ARDL (uni-directional) and NARDL (bi-directional) frame to address asymmetries. For better predictions, the results of bi-directional causality & low values of adjusted R 2 , must be investigated into its POS & NEG partial sums of decomposition of variables to enhance the predictive power of selected components of GI and to develop graphical asymmetric multipliers for cumulative dynamics called AMCD graphs (Allen & McAleer, 2020;Okere, Muoneke, & Onuoha, 2021;Phong, Van, & Bao, 2019).…”

Section: Results Of Pair-wise Granger Causalitymentioning

confidence: 99%

Nexus between Governance Indicators & Sustainable Stock Market Development in Pakistan: Evidences from Symmetric and Asymmetric Analysis

Islam

Bilal

2021

Pak. J. Humanit. Soc. Sci

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The hidden non-linear association between governance indicators & stock market development (SMD) of Pakistan has been scrutinized in this study by using two comparative co-integrating techniques known as ARDL (Auto-regressive Distributed Lag) & NARDL (Non-linear ARDL). Empirical evidence suggests that misrepresented inferences arise by ignoring hidden non-linearity nexus between the variables. The ARDL results indicate that political stability & absence of violence/terrorism does not impact directly the SMD of Pakistan. Voice & accountability positively and significantly impact SMD, but rule of law does not impact SMD of Pakistan directly. The regulatory quality is highly significant and negatively impacts SMD. Contrarily, the NARDL frame indicates significant differences amid coefficients of components of governance index, denoting asymmetric links between variables. The Positive & Negative sums of partial decompositions of Rule of Law, Regulatory Quality, Political Stability & Absence of Violence/Terrorism (PS&AVT), and Voice & Accountability (V&A) significantly impact SMD. The impact of partial Negative multipliers of Regulatory Quality, and PS&AVT has a highly significant and negative impact, while V&A has a significant and positive impact on SMD. The impact of Positive partial multipliers of all variables is positive and significant except V&A. The comparative diagnostics extricate precariousness in policy moratorium. This study will add credence to the predictive power of governance indicators towards SMD of Pakistan by incorporating Positive and Negative decomposed multipliers.

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“…The author depending on daily data from December, 2019 to May, 2020 and VAR causality econometric technique concluded that the COVID-19 pandemic adversely affected oil price, exchange rate and stock market performance in Nigeria, which in turn has devastating multiplier effects on growth. Furthermore, Nwosa [ 31 ] posited that in comparison 2009 global financial crisis and the recession that shook the Nigerian economy in 2016, COVID-19 pandemic possessed a greater effect on the trilicate (oil price, exchange rate and stock market) as advertised in Okere et al [ 32 ].…”

Section: Theoretical Literaturementioning

confidence: 99%

Accounting for the symmetric and asymmetric effects of FDI-growth nexus amidst financial crises, economic crises and COVID-19 pandemic: application of hidden co-integration

et al. 2022

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This study investigates the symmetric and asymmetric effects of FDI-growth nexus amidst financial crises, economic crises and COVID-19 pandemic s in Nigeria over the period 1983–2020. Having confirmed the long-run stable state among the variables, the symmetric estimates suggest that the FDI inflow/outflow is significantly linked with economic growth both in the long and short run, while the asymmetric model suggests that the parameter estimates have asymmetric effects on economic growth during the economic crisis in Nigeria. Specifically, the positive shocks in FDI inflow/outflow generate a significant reducing impact on economic growth, while negative shocks in FDI inflow/outflow generate a significant increasing effect on economic growth. Based on this findings, the study suggests that policy option would need to generate more economic activities that would improve net inflow/outflow and cushion the effect of future crisis.

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Symmetric and asymmetric effects of crude oil price and exchange rate on stock market performance in Nigeria: Evidence from multiple structural break and NARDL analysis

Cited by 29 publications

References 78 publications

Assessing the asymmetric war-growth nexus: A case of Afghanistan

Assessing the asymmetric war-growth nexus: A case of Afghanistan

Nexus between Governance Indicators & Sustainable Stock Market Development in Pakistan: Evidences from Symmetric and Asymmetric Analysis

Accounting for the symmetric and asymmetric effects of FDI-growth nexus amidst financial crises, economic crises and COVID-19 pandemic: application of hidden co-integration

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