Effects of exchange rate volatility and interest rate variability on stock returns of commercial banks in Nigeria
Following the adoption of the Structural Adjustment Programme (SAP) in 1986, stock returns of Nigerian commercial banks have been largely influenced by macroeconomic variables of which, exchange rate volatility and interest rate variability are dominant. The effect of changes in these variables has...
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my-uum-etd.82972021-05-31T04:53:42Z Effects of exchange rate volatility and interest rate variability on stock returns of commercial banks in Nigeria 2019 Oboni, Onakpa Abel Hassan, Sallahuddin School of Economics, Finance & Banking School of Economics, Finance & Banking HG Finance Following the adoption of the Structural Adjustment Programme (SAP) in 1986, stock returns of Nigerian commercial banks have been largely influenced by macroeconomic variables of which, exchange rate volatility and interest rate variability are dominant. The effect of changes in these variables has resulted in substantial loss of value in portfolio investment. The aim of this study is to analyse descriptively the performance of stock returns of Nigerian commercial banks from 2010 to 2017; to determine the relationship among exchange rate volatility in 2016 and its conditional volatility in periods beyond; and to evaluate the effects of exchange rate volatility and interest rate variability on the performance of stock returns of Nigerian commercial banks. Exponential Generalised Autoregressive Conditional Heteroscedasticity (EGARCH) and Autoregressive Distributed Lag (ARDL) models were used to analyse secondary data spanning the period 2010 to 2017. Results obtained indicate that the performance of stock returns of most commercial banks are dictated by the direction of movement of exchange rate and interest rate; exchange rate volatility in 2016 is related to the conditional volatility in the period beyond; and that the performance of stock returns of Nigerian commercial banks is significantly determined by exchange rate volatility and interest rate variability. The study recommends that alternative non-oil bilateral trade relations should be exploited to increase foreign exchange earnings of government to meet the ever increasing demand which exerts pressure on the exchange rate. It further recommends that government implement policies such as inflation targeting to act as a hedge to exchange rate volatility and interest rate variability. Government should also maintain its foreign reserve at a level where the foreign exchange market is sustainable at all times. 2019 Thesis https://etd.uum.edu.my/8297/ https://etd.uum.edu.my/8297/1/depositPermision_s821711.pdf text aa staffonly https://etd.uum.edu.my/8297/2/s821711_01.pdf text eng public https://etd.uum.edu.my/8297/3/s821711_references.docx text aa public other masters Universiti Utara Malaysia |
| institution |
Universiti Utara Malaysia |
| collection |
UUM ETD |
| language |
aa eng aa |
| advisor |
Hassan, Sallahuddin |
| topic |
HG Finance |
| spellingShingle |
HG Finance Oboni, Onakpa Abel Effects of exchange rate volatility and interest rate variability on stock returns of commercial banks in Nigeria |
| description |
Following the adoption of the Structural Adjustment Programme (SAP) in 1986, stock returns of Nigerian commercial banks have been largely influenced by macroeconomic variables of which, exchange rate volatility and interest rate variability are dominant. The effect of changes in these variables has resulted in substantial loss of value in portfolio investment. The aim of this study is to analyse descriptively the performance of stock
returns of Nigerian commercial banks from 2010 to 2017; to determine the relationship among exchange rate volatility in 2016 and its conditional volatility in periods beyond; and
to evaluate the effects of exchange rate volatility and interest rate variability on the performance of stock returns of Nigerian commercial banks. Exponential Generalised Autoregressive Conditional Heteroscedasticity (EGARCH) and Autoregressive Distributed Lag (ARDL) models were used to analyse secondary data spanning the period 2010 to 2017. Results obtained indicate that the performance of stock returns of most commercial banks are dictated by the direction of movement of exchange rate and interest rate; exchange rate volatility in 2016 is related to the conditional volatility in the period beyond;
and that the performance of stock returns of Nigerian commercial banks is significantly determined by exchange rate volatility and interest rate variability. The study recommends
that alternative non-oil bilateral trade relations should be exploited to increase foreign exchange earnings of government to meet the ever increasing demand which exerts pressure on the exchange rate. It further recommends that government implement policies such as inflation targeting to act as a hedge to exchange rate volatility and interest rate variability. Government should also maintain its foreign reserve at a level where the foreign exchange market is sustainable at all times. |
| format |
Thesis |
| qualification_name |
other |
| qualification_level |
Master's degree |
| author |
Oboni, Onakpa Abel |
| author_facet |
Oboni, Onakpa Abel |
| author_sort |
Oboni, Onakpa Abel |
| title |
Effects of exchange rate volatility and interest rate variability on stock returns of commercial banks in Nigeria |
| title_short |
Effects of exchange rate volatility and interest rate variability on stock returns of commercial banks in Nigeria |
| title_full |
Effects of exchange rate volatility and interest rate variability on stock returns of commercial banks in Nigeria |
| title_fullStr |
Effects of exchange rate volatility and interest rate variability on stock returns of commercial banks in Nigeria |
| title_full_unstemmed |
Effects of exchange rate volatility and interest rate variability on stock returns of commercial banks in Nigeria |
| title_sort |
effects of exchange rate volatility and interest rate variability on stock returns of commercial banks in nigeria |
| granting_institution |
Universiti Utara Malaysia |
| granting_department |
School of Economics, Finance & Banking |
| publishDate |
2019 |
| url |
https://etd.uum.edu.my/8297/1/depositPermision_s821711.pdf https://etd.uum.edu.my/8297/2/s821711_01.pdf https://etd.uum.edu.my/8297/3/s821711_references.docx |
| _version_ |
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