Oil Price Volatility and Stock Price Volatility: Evidence from Nigeria

A.E. Uwubanmwen, O.G. Omorokunwa


The goal of this study is to empirically estimate a model that helps to explain the behaviour of stock price volatility, movements in oil prices and real exchange rates in Nigeria using quarterly data from 1990 to 2012. Statistical and econometric techniques such as the Error Correction Mechanism (ECM) and the Bi-variate GARCH model were used to test for the relationships and to check if volatility in oil prices are transmitted to stock prices in Nigeria. The study showed that oil price volatility generates and stimulates stock prices volatility in Nigeria. The authors recommended that the excess crude oil revenues should be transform into physical capital and infrastructure rather than distribute the windfalls to the state and local government, a situation that ensures easy transmission of oil prices into the Nigerian economy.

DOI: 10.5901/mjss.2015.v4n1p253

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This work is licensed under Creative Commons Attribution 3.0 License.

Academic Journal of Interdisciplinary Studies ISSN 2281 3993(Print) ISSN 2281-4612(Online)

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