Is the stock market a leading indicator of economic activity in nigeria?

Artikel

In an effort to address the lacuna in leading indicator studies of African economies and Nigeria in particular, this paper examines the causal relationships among stock market prices, real GDP and the index of industrial production in Nigeria, using quarterly data from 1984Q1 to 2008Q4. Granger causality tests indicate bidirectional causality between stock prices and GDP but no causality between stock prices and industrial production or between GDP and industrial production. Stock prices and GDP are found to be cointegrated, leading to the estimation of vector error correction models. Out-of-sample forecasts constructed with AR(1), ARIMA, structural ARIMA, and VEC models indicate that stock prices contain information that can be used to improve the accuracy of GDP forecasts and enhance the conduct of macroeconomic policy in Nigeria.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Journal: CBN Journal of Applied Statistics ; ISSN: 2476-8472 ; Volume: 01 ; Year: 2010 ; Issue: 1 ; Pages: 17-38 ; Abuja: The Central Bank of Nigeria

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Business Fluctuations; Cycles ; Prices, Business Fluctuations, and Cycles: Forecasting and Simulation: Models and Applications ; International Financial Markets ; Financial Forecasting and Simulation
• Thema: Leading indicators ; stock index ; Granger causality ; cointegration ; vector error correction models ; forecasting GDP ; Nigeria

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Ikoku, Alvan E.
• Ereignis: Veröffentlichung
• (wer): The Central Bank of Nigeria
• (wo): Abuja
• (wann): 2010

Weitere Informationen

• Handle: http://hdl.handle.net/10419/142033
• Letzte Aktualisierung: 10.03.2025, 11:42 MEZ