期刊名称：International Journal of Econometrics and Financial Management
印刷版ISSN：2374-2011
电子版ISSN：2374-2038
出版年度：2017
卷号：5
期号：2
页码：69-76
DOI：10.12691/ijefm-5-2-6
语种：English
出版社：Science and Education Publishing
摘要：The paper investigated the effect of inflation on stock market returns on the Nigerian stock exchange market, employing a volatility modeling approach. Using monthly data on stock market returns and consumer price index inflation rate, the paper employed GARCH and EGARCH volatility modeling techniques for analysis. The study found that CPI inflation is not an important variable in explaining stock market return volatility in Nigeria. The EGARCH model did not find existence of asymmetry in the stock return series; that is good news and bad news have identical impact on stock returns in Nigeria. The GARCH model show high persistence in the stock returns series, though a shock to stock returns has only a temporary impact.
