The Sensitivity of Nigerian Stock Exchange Sectors to Macroeconomic Risk Factors

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dc.contributor.authorIkoku, A. E.
dc.date.accessioned2018-03-21T13:10:50Z
dc.date.available2018-03-21T13:10:50Z
dc.date.issued2014-03
dc.description.abstractThis 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.en_US
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dc.description.provenanceMade available in DSpace on 2018-03-21T13:10:50Z (GMT). No. of bitstreams: 1 The Sensitivity of Nigerian Stock Exchange Sectors to Macroeconomic Risk Factors.pdf: 576626 bytes, checksum: 2e9b5aef51439ec640cb12eebf90bd78 (MD5) Previous issue date: 2014-03en
dc.description.sponsorshipCentral Bank of Nigeriaen_US
dc.identifier.citationIkoku A. E. (2014). The Sensitivity of Nigerian Stock Exchange Sectors to Macroeconomic Risk Factors. Economic and Financial Review, 52(1), 47-63en_US
dc.identifier.issn1957-2968
dc.identifier.urihttp://repo.cbn.gov.ng/jspui/handle/123456789/123
dc.language.isoenen_US
dc.publisherCentral Bank of Nigeriaen_US
dc.relation.ispartofseries52;1
dc.subjectMacroeconomic risk factorsen_US
dc.subjectArbitrage Pricing Theoryen_US
dc.subjectNigerian Stock Exchangeen_US
dc.subjectSectoral Indicesen_US
dc.titleThe Sensitivity of Nigerian Stock Exchange Sectors to Macroeconomic Risk Factorsen_US
dc.typeArticleen_US

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