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An Autoregressive Distributive Lag for the Analysis of Macroeconomic Variables on Stock Market Returns in Nigeria

机译：尼日利亚股票市场收益宏观经济变量分析的自回归分布滞后

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This study provide an empirical investigation on the relationship between the stock market returns and macroeconomic variables in order to enhance the ability of economic agents in the analysis of stock market performance in Nigeria using Autoregressive D istrib utive Lag (ARDL). Annual time series data of six variables namely; broad money supply, nominal effective exchange rate, short term treasury bills rate, foreign direct investment, gross domestic per capita income, and gross domestic saving from 1984 - 2013 were employed to analyse the existence of short - run and long - run relationship between the selected macroeconomic variables and stock market returns. The results from the Augmented Dickey - Fuller and Phillips - Perron tests of stationarity indicated that all t he variables were non - stationary at level I (0) and were stationary at first difference I (1). The Bound test procedure also revealed that the stock market retu rns and the macroeconomic variables were cointegrated and, thus, a long - run equilibrium relatio nship exists between them. Likewise, the Granger causality tests showed that some of the macroeconomic variables were having bidirectional causality with the stock market returns; while others have unidirectional causality. As a result, Policy makers, fina ncial institutions and private investors need to take the macroeconomic indicators into consideration when formulating financial and economic policies, diversification strategies and restructuring of the portfolios .
机译：这项研究提供了关于股票市场收益与宏观经济变量之间关系的实证研究，以增强经济主体使用自回归分布滞后（ARDL）分析尼日利亚股票市场表现的能力。六个变量的年度时间序列数据分别是：运用广义货币供应，名义有效汇率，短期国库券利率，外国直接投资，国内人均总收入，以及1984年至2013年的国内总储蓄来分析两者之间的短期和长期关系。选择的宏观经济变量和股市收益。增强迪基-富勒和菲利普斯-佩伦的平稳性测试的结果表明，所有变量在I级（0）时都是非平稳的，而在第一级I（1）时是平稳的。边界测试程序还显示，股票市场收益与宏观经济变量是协整的，因此它们之间存在长期的均衡关系。同样，格兰杰因果关系检验表明，某些宏观经济变量与股票市场回报率具有双向因果关系。而其他人则具有单向因果关系。因此，政策制定者，金融机构和私人投资者在制定金融和经济政策，多元化战略以及重组投资组合时需要考虑宏观经济指标。

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