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Oil price shocks and Nigeria's stock market: what have we learned from crude oil market shocks?

机译：石油价格冲击和尼日利亚股市：我们从原油市场冲击中学到了什么？

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摘要

Oil price shocks do not only originate from the supply-side of the crude oil market but may also be demand driven. The impact of oil price shocks on stock market activities may be different depending on its origin (i.e. demand and supply shocks). This paper provides the first examination of the impact of the origin of oil price shocks on Nigeria's stock market for the period 1995:1-2011:12. Oil price shocks is decomposed into oil supply shocks, aggregate demand shocks and oil-specific demand shocks using a structural vector auto-regression model, and their impacts on stock market prices were analysed using impulse response and variance decomposition analysis. The impulse response results show that stock market's response to oil supply shocks is insignificantly negative but significantly positive to aggregate demand and oil-specific demand shocks. The cumulative effects of the oil price shocks account for about 47 per cent of the variation in stock prices in the long term. These results suggest that the origin of oil price shocks is crucial for understanding the volatility in Nigeria's stock market. Future policy direction should focus on diversifying the economy to reduce its vulnerability to oil price fluctuations while addressing the inefficiencies in the stock market.
机译：石油价格冲击不仅来自原油市场的供应方，也可能是需求驱动的。石油价格冲击对股市活动的影响可能取决于其起源（即需求和供应冲击）而有所不同。本文首次研究了1995：1-2011：12期间石油价格冲击的起因对尼日利亚股票市场的影响。使用结构矢量自回归模型将石油价格冲击分解为石油供应冲击，总需求冲击和石油特定需求冲击，并使用冲激响应和方差分解分析来分析其对股市价格的影响。冲动响应结果表明，股市对石油供应冲击的响应微不足道，但对总需求和特定石油需求冲击的响应却显着。长期来看，石油价格冲击的累积影响约占股票价格变动的47％。这些结果表明，石油价格冲击的起源对于理解尼日利亚股票市场的动荡至关重要。未来的政策方向应着重于经济多元化，以减少其对石油价格波动的脆弱性，同时解决股市效率低下的问题。

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  • 来源
    《OPEC energy review》 |2014年第1期|36-58|共23页
  • 作者

    Ekpeno L. Effiong;

  • 作者单位

    Department of Economics, University of Uyo, P.M.B. 1017, Uyo, Nigeria;

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