Artikel
Portfolio balance approach to asymmetries, structural breaks and financial crisis: Testing a model for Nigeria
This study tests the Portfolio Balance Theory (PBT) for Nigeria for the period starting from September, 1997 to September, 2018. It extends the hypothesized linear inverse relationship between exchange rate and stock price to include asymmetries and structural breaks. It further examines the impact of the 2008 global financial crisis on the PBT to determine its stability after the crisis. The full sample results show that the PBT holds for Nigeria and asymmetries and structural breaks matter in the nexus between stock price and exchange rate. However, the impact of stock price on exchange rate diminished in the long-run with the advent of the 2008 global financial crisis, thus eroding the relative consistency of the PBT after the crisis. The sensitivity of the Nigerian exchange rate to stock price changes calls for the strengthening ofthe stock market performance through relevant policies including the enhancementof portfolio diversification and risk-hedging assets. The role of asymmetries shouldnot also be jettisoned in predicting exchange rate with stock prices to obtain accurate forecast results.
- Sprache
-
Englisch
- Erschienen in
-
Journal: CBN Journal of Applied Statistics ; ISSN: 2476-8472 ; Volume: 11 ; Year: 2020 ; Issue: 1 ; Pages: 87-110 ; Abuja: The Central Bank of Nigeria
- Klassifikation
-
Wirtschaft
Foreign Exchange
Portfolio Choice; Investment Decisions
- Thema
-
Asymmetries
exchange rate
global financial crisis
portfolio balance theory
stock price
structural breaks
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Adekoya, Oluwasegun B.
- Ereignis
-
Veröffentlichung
- (wer)
-
The Central Bank of Nigeria
- (wo)
-
Abuja
- (wann)
-
2020
- DOI
-
doi:10.33429/Cjas.11120.4/5
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:45 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Artikel
Beteiligte
- Adekoya, Oluwasegun B.
- The Central Bank of Nigeria
Entstanden
- 2020
Ähnliche Objekte (12)
Oil revenue shocks and the current account balance dynamics in Nigeria: New evidence from asymmetry and structural breaks
Asymmetries, breaks, and long-range dependence: An estimation framework for daily realized volatility
Oil price and exchange rate nexus in Nigeria: Are there asymmetries
Structural breaks, cointegration and demand for money in Nigeria
Modelling inflation rate volatility in Nigeria with structural breaks
Structural breaks, parameter stability and energy demand modeling in Nigeria
A Portfolio Balance Model of the Open Economy
Exchange rate determination in Nigeria: Testing the monetary theory in the presence of asymmetries
A portfolio-balance approach to the nominal term structure
Portfolio balance effects of the SNB's bond purchase program
Exchange-rates volatility in Nigeria: Application of GARCH models with exogenous break
Break from the Break
Oil revenue shocks and the current account balance dynamics in Nigeria: New evidence from asymmetry and structural breaks
Asymmetries, breaks, and long-range dependence: An estimation framework for daily realized volatility
Oil price and exchange rate nexus in Nigeria: Are there asymmetries
Structural breaks, cointegration and demand for money in Nigeria
Modelling inflation rate volatility in Nigeria with structural breaks
Structural breaks, parameter stability and energy demand modeling in Nigeria
A Portfolio Balance Model of the Open Economy
Exchange rate determination in Nigeria: Testing the monetary theory in the presence of asymmetries
A portfolio-balance approach to the nominal term structure
Portfolio balance effects of the SNB's bond purchase program
Exchange-rates volatility in Nigeria: Application of GARCH models with exogenous break
Break from the Break
Oil revenue shocks and the current account balance dynamics in Nigeria: New evidence from asymmetry and structural breaks
Asymmetries, breaks, and long-range dependence: An estimation framework for daily realized volatility
Oil price and exchange rate nexus in Nigeria: Are there asymmetries
Structural breaks, cointegration and demand for money in Nigeria
Modelling inflation rate volatility in Nigeria with structural breaks
Structural breaks, parameter stability and energy demand modeling in Nigeria
A Portfolio Balance Model of the Open Economy
Exchange rate determination in Nigeria: Testing the monetary theory in the presence of asymmetries
A portfolio-balance approach to the nominal term structure
Portfolio balance effects of the SNB's bond purchase program
Exchange-rates volatility in Nigeria: Application of GARCH models with exogenous break