Effect of inflationary expectations on stock market returns in Nigeria

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dc.contributor.authorIwegbu, O.
dc.contributor.authorAdeoye, B.W.
dc.date.accessioned2020-08-06T17:10:30Z
dc.date.available2020-08-06T17:10:30Z
dc.date.issued2020-07-07
dc.description.abstractThis study examined the effect of inflationary expectations on stock market returns during the financial crisis era and the post-financial crisis era in Nigeria. The study built its argument using Fisher’s effect to examine the objective. The study employed quarterly data spanning through the periods of first quarter 2007 till the fourth quarter of 2018. Using Autoregressive Distributed Lag estimation technique after the stationarity of the variables have been confirmed by ADF and its long-run stability confirmed by Bounds co-integration test, the study found that inflationary expectations are key determinants of stock market returns in Nigeria. The study concludes that stocks do not hedge over inflation as expectations built up by agents in the economy affects stock returns. The study, therefore, rejects the Fisher hypothesis for the case of Nigeria in the post-global financial crisis era.en_US
dc.identifier.citationIwegbu, O., & Adeoye, B.W. (2020). Effect of inflationary expectations on stock market returns in Nigeria. Journal of Economic Studies, 17(1), 27 – 42. https://nauecojournals.com/index.php/stage/pdfreader/113en_US
dc.identifier.issn1119-2259
dc.identifier.urihttps://ir.unilag.edu.ng/handle/123456789/8719
dc.language.isoenen_US
dc.publisherJournal of Economic Studiesen_US
dc.relation.ispartofseries17;1
dc.subjectInflationary Expectationsen_US
dc.subjectStock Market Returnsen_US
dc.subjectAutoregressive Distributed Lag Model (ARDL)en_US
dc.titleEffect of inflationary expectations on stock market returns in Nigeriaen_US
dc.typeArticleen_US
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