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DETERMINANTS OF STOCK MARKET RETURNS IN NIGERIA: A TIME SERIES ANALYSIS
Abstract
It is a known fact that the market liquidity is an important attribute of stock market development. Liquid markets essentially improve the mobilization and allocation of capital and thereby enhance the prospects of facility long-term growth. This argument stems the objective of this study in analyzing the determinants of stock market returns in Nigeria using the OLS method based on the sourced time series variables from the Central Bank of Nigeria (CBN) between 1984 and 2010. The findings indicated that interest rate, previous stock return levels, money supply and exchange rate are the main determinants of stock returns in Nigeria. Therefore, this study proffer the need to adopt a mixed policy approach between capital and monetary market instruments in order to enhance the returns in the Nigerian Stock Exchange.
Keywords: Capital Market, Stock Price, Macroeconomic indicators, OLS, Nigeria