期刊名称：International Journal of Management Science and Business Administration
电子版ISSN：1849-5664
出版年度：2019
卷号：5
期号：6
页码：38-47
DOI：10.18775/ijmsba.1849-5664-5419.2014.56.1005
出版社：Inovatus Usluge Ltd.
摘要：This study employed GARCH (1.1) techniques to evaluate the existence of high stock market returns
volatility, and the impact of the exchange rate, interest rate and inflation on stock market returns in Nigeria, using
monthly series data from 1995 – 2014. Excessive volatility hinders the stock market from playing its role of
Mobilizing, financial resources from surplus units to deficit units and may cause a financial crisis. The research finding
shows that interest rate has a negative relationship with stock market returns, while the inflation rate and exchange rate
have a positive relationship with stock market returns. The conclusion therefore is, there is high and persistent volatility
in the Nigerian stock market returns. Exchange rate, interest rate, and inflation significantly impact stock market return
volatility in Nigeria. The study recommends that regulatory authorities should take proactive steps to minimize stock
market return in order to restore confidence in the market.
