아프리카ㆍ중동

The impact of exchange rate and oil prices fluctuation on stock market has been a subject of hot debate among researcher. This study examined the impact of both the exchange rate volatility and oil price volatility on stock market volatility in Nigeria, so as to guide policy formulation based on the fact that the nation’s economy is foreign induced and mono-cultured with heavy dependence on oil. We employed EGARCH estimation techniques to examine if either the volatility in exchange rate, oil price volatility or both exerts on stock market volatility in Nigeria noting that it is the volatility of macroeconomic variables that make stock market planning difficult. Our result shows that share price volatility is induced by both the exchange rate volatility and oil price volatility. Thus we recommend that policy makers should pursue policies that tend to stabilize the exchange rate regime on the one hand, and guarantee net oil exporting position for the economy. We also recommend that market practitioners should formulate portfolio strategies in such a way that volatility in both exchange rates and oil price will be factored in when investment decisions are being made.