Effect of monetary policy on the Nigerian stock market: A smooth transition autoregressive approach

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dc.authorid0000-0002-5131-577X
dc.contributor.authorBabangida, Jamilu S.
dc.contributor.authorKhan, Asad ul Islam
dc.contributor.otherYönetim Bilimleri Fakültesi, İktisat Bölümü
dc.date.accessioned2021-09-03T12:39:55Z
dc.date.available2021-09-03T12:39:55Z
dc.date.issued2021
dc.departmentİHÜ, Yönetim Bilimleri Fakültesi, İktisat Bölümü
dc.departmentİHÜ, Lisansüstü Eğitim Enstitüsü, İktisat Ana Bilim Dalı
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.
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.
dc.identifier.doi10.33429/Cjas.12121.1/6
dc.identifier.endpage21
dc.identifier.issue1
dc.identifier.startpage1
dc.identifier.urihttps://doi.org/10.33429/Cjas.12121.1/6
dc.identifier.urihttps://hdl.handle.net/20.500.12154/1587
dc.identifier.volume12
dc.institutionauthorKhan, Asad ul Islam
dc.institutionauthorid0000-0002-5131-577X
dc.language.isoen
dc.publisherCentral Bank of Nigeria
dc.relation.ihupublicationcategory235
dc.relation.ispartofCBN Journal of Applied Statistics
dc.relation.publicationcategoryMakale - Ulusal Hakemli Dergi - Kurum Öğretim Elemanı
dc.relation.publicationcategoryÖğrenci
dc.rightsinfo:eu-repo/semantics/openAccess
dc.subjectMonetary Policy
dc.subjectNonlinear
dc.subjectSmooth Transition Autoregressive Model
dc.subjectStock Prices
dc.titleEffect of monetary policy on the Nigerian stock market: A smooth transition autoregressive approach
dc.typeArticle
dspace.entity.typePublication
relation.isAuthorOfPublication5d56d061-267c-4b33-8b78-b50e651ee5aa
relation.isAuthorOfPublication.latestForDiscovery5d56d061-267c-4b33-8b78-b50e651ee5aa
relation.isOrgUnitOfPublication9d1809d1-3541-41aa-94ed-639736b7e16f
relation.isOrgUnitOfPublication.latestForDiscovery9d1809d1-3541-41aa-94ed-639736b7e16f

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