Macroeconomic Determinants of Stock Market Price In Nigeria

Abstract

This study examined the effects of selected macroeconomic variables on stock market price in Nigeria, using quarterly time series data for the period 1985 to 2020, and the Vector Auto Regression (VAR) modeling technique. The results show that there exists a long-run relationship among stock prices, inflation rate, interest rate and real gross domestic product for the period under study. The variance decomposition results indicate that inflation rates, real GDP growth, interest rates are the key drivers of stock market price. The study therefore recommends a complete overhaul of current policies which have produced a regime of both high interest and inflation rates and a sluggish output growth.

Keywords: Stock Market Price, macroeconomic determinants, variance decomposition

JEL: O16 and L