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

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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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Acknowledgements

The authors would like to thank the referees and the Editor for their careful reading and comments which significantly improved the paper.

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Authors and Affiliations

  1. School of Mathematics, University of Manchester, Manchester, M13 9PL, UK

    I. E. Okorie

  2. Department of Statistics, Abia State University, Uturu, Abia State, Nigeria

    A. C. Akpanta, D. C. Chikezie & C. U. Onyemachi

  3. Department of Mathematics and Statistics, Faculty of Sciences, Federal University Otuoke, P.M.B 126, Yenagoa, Bayelsa State, Nigeria

    J. Ohakwe

  4. Department of Statistics, University of Nigeria, Nsukka, Enugu State, Nigeria

    M. C. Ugwu

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  1. I. E. Okorie
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Okorie, I.E., Akpanta, A.C., Ohakwe, J. et al. Modeling the Relationships Across Nigeria Inflation, Exchange Rate, and Stock Market Returns and Further Analysis. Ann. Data. Sci. 8, 295–329 (2021). https://doi.org/10.1007/s40745-019-00206-7

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