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Annals of Data Science
Published in: Annals of Data Science 2/2021

20-04-2019

Modeling the Relationships Across Nigeria Inflation, Exchange Rate, and Stock Market Returns and Further Analysis

Authors: I. E. Okorie, A. C. Akpanta, J. Ohakwe, D. C. Chikezie, C. U. Onyemachi, M. C. Ugwu

Published in: Annals of Data Science | Issue 2/2021

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Abstract

For the first time, a more detailed statistical analysis of the dependence across Nigeria inflation, exchange rate, and stock market returns is provided by means of copulas. A positive relationship is found to exist between Nigeria inflation and the exchange rate of Nigeria Naira versus USD, a negligible positive relationship exists between Nigeria inflation and her stock market returns, and a weak positive relationship exists between the exchange rate of Nigeria Naira versus USD and her stock market returns. Eighteen months forecast for each of the time series and the value at risk estimates for the Nigeria stock market returns are given. The Nigeria stock market is confirmed to be weak form inefficient.
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Metadata
Title
Modeling the Relationships Across Nigeria Inflation, Exchange Rate, and Stock Market Returns and Further Analysis
Authors
I. E. Okorie
A. C. Akpanta
J. Ohakwe
D. C. Chikezie
C. U. Onyemachi
M. C. Ugwu
Publication date
20-04-2019
Publisher
Springer Berlin Heidelberg
Published in
Annals of Data Science / Issue 2/2021
Print ISSN: 2198-5804
Electronic ISSN: 2198-5812
DOI
https://doi.org/10.1007/s40745-019-00206-7

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