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The study investigated the relationship between crude oil price, exchange rate and sectoral stock prices in Nigeria from 2009 to 2016, using quarterly data collected from the Central Bank of Nigeria (CBN) and Nigeria Stock Exchange. Indices of the Nigeria stock exchange for three sectors (NSE Banking Sector, NSE Consumer goods and NSE Oil & Gas) were considered as dependent variables, which led to the specification of three models for the study.
The study implemented unit root with and without structural breaks to determine the order of integration and further applied a nonlinear ARDL (NARDL) which is an asymmetric extension of the standard co-integration test and the standard ARDL. The NARDL was applied to determine asymmetric effect of crude oil price shocks on stock prices.
Findings from the analysis indicated the presence of long-run co-integration in most cases and that positive and negative oil price shocks have differential effects on stock prices across sectors. Further, positive oil price shocks have greater impact on share prices in the banking and oil & gas sectors than negative oil price shocks of the same magnitude. Oil price shocks completely transmitted to the sectors, except consumer goods sector.
The study concluded that there should be close monitoring of the banking and oil & gas sectors as well as appropriate policy actions to curtail systematic risk in the banking industry.
Keywords: Asymmetry, Nonlinear ARDL, Crude oil price shocks, exchange rate
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