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dc.contributor.authorBabangida, Jamilu S.
dc.contributor.authorKhan, Asad ul Islam
dc.date.accessioned2021-09-03T12:39:55Z
dc.date.available2021-09-03T12:39:55Z
dc.date.issued2021en_US
dc.identifier.citationBabangida, J. S. ve Khan, A. U. I. (2021). Effect of monetary policy on the Nigerian stock market: A smooth transition autoregressive approach. CBN Journal of Applied Statistics, 12(1), 1-21.en_US
dc.identifier.urihttps://doi.org/10.33429/Cjas.12121.1/6
dc.identifier.urihttps://hdl.handle.net/20.500.12154/1587
dc.description.abstractThis paper examines the nonlinear effect of monetary policy decisions on the performance of the Nigerian Stock Exchange market, by employing the Smooth Transition Autoregressive (STAR) model on monthly data from 2013 M4 to 2019 M12 for All Share Index and monetary policy instrument. This study considers the two regimes characterizing the stock market, which are the lower regime (the bear market) and the upper regime (the bull market). The results show evidence of nonlinear effect of monetary policy on the stock exchange market. Monetary policy rate, money supply, lagged monetary policy rate and lagged treasury bill rate are found to have significant positive effects on the stock exchange market in the lower regime while current treasury bill rate shows a negative effect. In the upper regime, money supply and lagged treasury bill rate have significant negative effect on the stock market. The current treasury bill rate is found to have a positive effect on the stock exchange market. It is recommended that the Central Bank of Nigeria should maintain a stable money supply growth that is consistent with increased activities in the Nigerian stock market.en_US
dc.language.isoengen_US
dc.publisherCentral Bank of Nigeriaen_US
dc.relation.ispartofCBN Journal of Applied Statisticsen_US
dc.rightsinfo:eu-repo/semantics/openAccessen_US
dc.subjectMonetary Policyen_US
dc.subjectNonlinearen_US
dc.subjectSmooth Transition Autoregressive Modelen_US
dc.subjectStock Pricesen_US
dc.titleEffect of monetary policy on the Nigerian stock market: A smooth transition autoregressive approachen_US
dc.typearticleen_US
dc.departmentİHÜ, İnsan ve Toplum Bilimleri Fakültesi, İktisat Bölümüen_US
dc.authorid0000-0002-5131-577Xen_US
dc.identifier.volume12en_US
dc.identifier.issue1en_US
dc.identifier.startpage1en_US
dc.identifier.endpage21en_US
dc.ihuauthorid0000-0002-5131-577Xen_US
dc.relation.ihupublicationcategory235en_US
dc.relation.publicationcategoryMakale - Ulusal Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.contributor.institutionauthorKhan, Asad ul Islam
dc.identifier.doi10.33429/Cjas.12121.1/6en_US


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