عنوان
پدید آورنده
موضوع
رده
کتابخانه
محل استقرار
NATIONAL BIBLIOGRAPHY NUMBER
Number
TL51222
LANGUAGE OF THE ITEM
.Language of Text, Soundtrack etc
انگلیسی
TITLE AND STATEMENT OF RESPONSIBILITY
Title Proper
Foreign Exchange Rates Dynamics and Stock Price Behavior in Nigeria: A Sectoral Analysis
General Material Designation
[Thesis]
First Statement of Responsibility
Oloyin-Abdulhakeem, Bashirat Oluwafunke
Subsequent Statement of Responsibility
Abdullahi, I. B.
.PUBLICATION, DISTRIBUTION, ETC
Name of Publisher, Distributor, etc.
Kwara State University (Nigeria)
Date of Publication, Distribution, etc.
2019
GENERAL NOTES
Text of Note
204 p.
DISSERTATION (THESIS) NOTE
Dissertation or thesis details and type of degree
Ph.D.
Body granting the degree
Kwara State University (Nigeria)
Text preceding or following the note
2019
SUMMARY OR ABSTRACT
Text of Note
The interdependence between foreign exchange rates dynamics and stock price behavior has been a debatable phenomenon all time long. It has also been an area of concern among foreign and local investors in building efficient hedging strategies and optimum portfolio. However, sectoral response to foreign exchange rate dynamics differs across sectors on the NigerianStock Market. Against this background, the studyinvestigates the effects of foreign exchange rate dynamics on stock price behavior of the Banking, Consumer Goods, Insurance and Oil and Gas Sectors in Nigeria. The specific objectives are to: (i) examine the causal relationship between foreign exchange rate and stock prices of different sectors in Nigeria; (ii) investigate the effects of foreign exchange rate dynamics on stock prices of different sectors in Nigeria; (iii) examine the volatility spillover effects of exchange rate on sectoral stock returns in Nigeria; and (iv) examine the volatility transmission effects among the banking, consumer goods, insurance and oil and gas sectors stock returns in Nigeria.Weekly and Monthly secondary data of the selected sectors were sourced from the Nigerian Stock Exchange and Central Bank of Nigeria between 2008 and 2018. The study employed Autoregressive Distributed Lag (ARDL) model to examine the effects of foreign exchange rate and other macroeconomic determinants, while Exponential Generalized Autoregressive Distributed Conditional Heteroskedasity (EGARCH) model was used to examine the volatility spillover effects of foreign exchange rates onthe selected sectors stock returns. Lastly,the BEKK-GARCH and the Dynamic Conditional Correlation (DCC) was used to examine the volatility transmission among the sectors. Findings revealed that: (i)
UNCONTROLLED SUBJECT TERMS
Subject Term
Economics
Subject Term
Finance
PERSONAL NAME - PRIMARY RESPONSIBILITY
Oloyin-Abdulhakeem, Bashirat Oluwafunke
PERSONAL NAME - SECONDARY RESPONSIBILITY
Abdullahi, I. B.
CORPORATE BODY NAME - SECONDARY RESPONSIBILITY
Kwara State University (Nigeria)
ELECTRONIC LOCATION AND ACCESS
Electronic name
مطالعه متن کتاب p
[Thesis]
276903
a
Y
