The Sensitivity of Nigerian Stock Exchange Sectors to Macroeconomic Risk Factors
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Date
2014-03
Authors
Journal Title
Journal ISSN
Volume Title
Publisher
Central Bank of Nigeria
Abstract
This paper investigated the sensitivity of sectoral index returns on the Nigerian Stock
Exchange to macroeconomic risk factors such as the spread between deposit and
lending rates of banks, the slope of the yield curve, broad money supply, interest rates,
exchange rates, inflation and the international price of oil. We found that the Banking,
Food and Beverage, and Insurance sectors were sensitive to some macroeconomic
risk factors but not to others. The Oil and Gas sector was sensitive to the slope of the
yield curve only. This study estimated the elasticities of macroeconomic factors in the
Nigerian Stock Exchange using the sectoral indices. It is also one of the few studies that
has tested the Arbitrage Pricing Theory (APT) on distinct sectors of the Nigerian Stock
Exchange. A number of policy implications on prudential guidelines, sectoral
inventions, direction of investments and hedging strategies are indicated.
Description
Keywords
Macroeconomic risk factors, Arbitrage Pricing Theory, Nigerian Stock Exchange, Sectoral Indices
Citation
Ikoku A. E. (2014). The Sensitivity of Nigerian Stock Exchange Sectors to Macroeconomic Risk Factors. Economic and Financial Review, 52(1), 47-63