MACROECONOMETRIC INVESTIGATION OF STOCK MARKET BEHAVIOR IN NIGERIA

Chinedu B. Ezirim
Reginald C. Ibe
University of Port-Harcourt, Nigeria
Muoghalu Michael
Pittsburg State University, Kansas
Azuka Edith Amuzie
Office of the Accountant General, Owerri, Nigeria
ABSTRACT
This study examines some specific economic factors that could offer further information
on the way the Nigerian Stock market functions. The period examined is from 1985-2009, which
could be characterized as that of social, political and economic changes in Nigeria. Using the
Johansen co-integration model, the empirical results show that there are at least two co-
integrating vectors, which proves that the variables are linearly related in the long-run. It was
also discovered that the individual variables do have the correct signs in their influence on the
dependent variable and there is evidence that collectively they are significant in influemcing stock
prices.