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Systemic Risk and Dynamics of Stock Prices: A Short and Long Run Analysis from Nigeria Capital Market
American International Journal of Business and Management Studies
View Archive Info| Field | Value | |
| Title |
Systemic Risk and Dynamics of Stock Prices: A Short and Long Run Analysis from Nigeria Capital Market
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| Creator |
Charles, Fortune Bella
Okoro, Charles Ugochukwu |
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| Description |
This study examined the effect of systemic risk on the dynamics of stock prices in Nigeria capital market. The objective was to investigate the dynamic effect of systemic risk on stock prices traded on the floor of Nigeria stock exchange. Time series data was sourced from Central Bank of Nigeria Statistical Bulletin from 1990-2017. Stock prices were modeled as the function of prices risk, liquidity risk, interest rate risk and exchange rate risk. Multiple regression with ordinary least square properties of co-integration was used to examine the relationship between the dependent and the independent variables. The study found price and liquidity risk have positive effect on stock price while interest rate and exchange rate risk have negative effect on stock prices of equities traded on Nigeria stock exchange. It concludes that systemic risk has significant effect on stock prices and recommends, among others, that the management of the capital market should ensure that the operating environment is risk minimum to ensure appreciable stock prices by developing strategies and policies aim at managing the systematic risk in the operating environment and engage a regular environmental impact assessment on systemic risk, to avert it’s negative effect on stock prices.
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| Publisher |
American Center of Science and Education
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| Date |
2019-01-05
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| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion |
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| Format |
application/pdf
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| Identifier |
http://www.acseusa.org/journal/index.php/aijbms/article/view/35
10.46545/aijbms.v1i1.35 |
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| Source |
American International Journal of Business and Management Studies; Vol 1 No 1 (2019); 1-19
2641-4953 2641-4937 |
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| Language |
eng
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| Relation |
http://www.acseusa.org/journal/index.php/aijbms/article/view/35/22
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| Rights |
Copyright (c) 2019 Fortune Bella Charles ,Charles Ugochukwu Okoro
http://creativecommons.org/licenses/by/4.0 |
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