RECEPTIVENESS OF STOCK MARKET RETURNS TO INFLATION IN NIGERIA FROM 1985 TO 2014

📄 Project Abstract

The theoretical underpinning for inflation and stock market returns nexus comes largely from the work of Irving Fisher who postulated that stock market returns act as a hedge against inflation. There is the generally held view that expected nominal stock market returns consists of an expected real returns and a compensation for inflation. The need to bring this issue home to Nigeria motivated this study. This study chose a broad objective of examining the causal relationship between inflation and stock market returns with evidence from the Nigerian economic environment. The study adopted the ex-post facto research design, and monthly time series data for a thirty-year period 1985- 2014 were collated from the Central Bank of Nigeria's annual reports and statistical bulletin. Six hypotheses were proposed and tested. The Ordinary Least Square (OLS) regression, Granger Causality Test, Cointegration (Engle and Granger as well as Johansen Rank Test), Error Correction Model were used to test ...