School of Innovative Technology (SIT)

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School of Innovative Technology (SIT)

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End date: 2019Subject: search.filters.subject.ARDL

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    Oil Price and Stock Prices Volatility Transmission in Nigeria
    (West African Economic Review, 2019) Sesan Oluseyi Adeniji; Kamaldeen Ajala; Musa Abdullahi Sakanko
    The study investigates the relationship among oil price (OP), oil price volatility (OPV) and stock price volatility (SPV) in Nigeria, using an Autoregressive Distributed Lag (ARDL) model, Toda-Yamamoto-Dolado-Lutkepohl (TYDL) test, and Breitung-Candelon Frequency Domain Causality Test. The study shows that OP causes the SPV and OPV in a one-way direction in the long run. However, there was evidence of bi-directional relationship with SPV in the medium-run. It also shows that the OPV and SPV positively impact OP in the short and long run. Overall, the study found that there is a greater tendency that oil price adjusts back to its long-run equilibrium when affected by stock market prices. Therefore, it recommends that policymakers consider the movement in oil price and stock price in shaping the capital market's operation and ensuring the proceeds from increased oil prices are utilised maximally for economic revitalisation in Nigeria.
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    OIL PRICE VOLATILITY AND BALANCE OF PAYMENTS (BOP): EVIDENCE OF NIGERIA
    (Bingham Journal of Economics Allied Studies (BJEAS), 2019) Musa Abdullahi Sakanko; James Obilikwu; Joseph David
    This study examines the effect of oil price volatility on Nigerian Balance of Payment (BOP) from 1980 to 2017, using the Autoregressive Distributed Lag (ARDL) bound testing technique, and the Autoregressive Conditional Heteroscedasticity (ARCH)-type model (EGARCH-M) to examine the nature and behaviour of Nigeria’s oil (Bonny light) price volatility. The results from the ARCH-type model (EGARCH-M(1,1)) indicate that the Nigeria’s oil price volatility is not mean reverting, with negative shocks generating more impact than positive shocks, which is determined negatively by global oil supply and negatively by world oil demand. Equally, while the result of the ARDL bound test confirms the presence of co-integrating (long-run) relation between Balance of Payment and oil price volatility (and oil export and economic growth), the result from the ARDL model indicates the presence of significant negative relationship between oil price volatility and Balance of Payments in Nigeria, thus indicating the negative effect (deficit) of oil price volatility on Nigeria’s BOP, due to the overreliance and dependence of the economy on oil export. The study therefore recommends the diversification of Nigeria’s export basket, for enhanced participation of non-oil products, coupled with the adoption of the Petroleum Industry Bill (PIB), so as to enhance the productivity and performance of the country’s oil and gas industry, and making it internationally competitive