The Journal of Accounting and Management, Vol 8, No 3 (2018)

Empirical Analysis of the Relationship between Macroeconomic Factors and Stock Returns in Nigeria

Alex Ola English


This research work is aimed at ascertaining the causality among stock returns, inflationary rate, and money flow alongside with currency conversion rate in Nigeria employing the Arbitrage pricing theory framework.  This work used quarterly data 2000Q1 – 2016Q4. Pairwise econometric technique was employed for data estimation. Return on stock alongside with inflationary rate were seen to have no causal relationship but return on stock was seen to be mutually related with currency conversion rate. The findings further showed that returns on stock has a unidirectional causation with money flow. The findings also showed that inflationary rate and conversion rate have unidirectional causation .The results implication of the results is that financiers can employ macroeconomic factors to predict the of movement stock in Nigeria. Introduction of currency conversion into existing model in the Nigerian context is a major contribution of this study to body of knowledge     



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