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首页> 外文期刊>Current Journal of Applied Science and Technology >The Dynamic Relationship between Crude Oil Prices and Stock Market Price Volatility in Nigeria: A Cointegrated VAR-GARCH Model
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The Dynamic Relationship between Crude Oil Prices and Stock Market Price Volatility in Nigeria: A Cointegrated VAR-GARCH Model

机译：尼日利亚原油价格与股市价格波动之间的动态关系：协整VAR-GARCH模型

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This study investigates the dynamic relationship between crude oil prices and stock market price volatility in Nigeria using cointegrated Vector Generalized Autoregressive conditional Heteroskedasticity (VAR-GARCH) model. The study utilizes monthly data on the study variables from January 2006 to April 2017 and employs Dickey-Fuller Generalized least squares unit root test, simple linear regression model, unrestricted vector autoregressive model, Granger causality test and standard GARCH model as methods of analysis. Results shows that the study variables are integrated of order one, no long-run stable relationship was found to exist between crude oil prices and stock market prices in Nigeria. Both crude oil prices and stock market prices were found to have positive and significant impact on each other indicating that an increase in crude oil prices will increase stock market prices and vice versa. Both crude oil prices and stock market prices were found to have predictive information on one another in the long-run. A one-way causality ran from crude oil prices to stock market prices suggesting that crude oil prices determine stock prices and are a driven force in Nigerian stock market. Results of GARCH (1,1) models show high persistence of shocks in the conditional variance of both returns. The conditional volatility of stock market price log return was found to be stable and predictable while that of crude oil price log return was found to be unstable and unpredictable, although a dependable and dynamic relationship between crude oil prices and stock market prices was found to exist. The study provides some policy recommendations.
机译：本研究使用协整矢量广义自回归条件异方差（VAR-GARCH）模型调查了尼日利亚原油价格与股票市场价格波动之间的动态关系。该研究利用2006年1月至2017年4月的研究变量每月数据，并采用Dickey-Fuller广义最小二乘单位根检验，简单线性回归模型，无限制向量自回归模型，Granger因果检验和标准GARCH模型作为分析方法。结果表明，研究变量是一阶综合的，尼日利亚的原油价格和股票市场价格之间没有长期的稳定关系。发现原油价格和股票市场价格相互之间具有积极和重大的影响，这表明原油价格的上涨将增加股票市场的价格，反之亦然。从长远来看，发现原油价格和股市价格相互之间具有预测信息。从原油价格到股票市场价格的单向因果关系表明，原油价格决定股票价格，并且是尼日利亚股票市场的推动力。 GARCH（1,1）模型的结果表明，在两种收益的条件方差中，冲击的持续性很高。尽管发现原油价格和股票市场价格之间存在可靠且动态的关系，但发现股票市场价格对数收益的条件波动是稳定且可预测的，而原油价格对数收益的条件波动却是不稳定和不可预测的。该研究提供了一些政策建议。

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