6.[43-53]Stock Market Volatility and Macroeconomic Variables Volatility in Nigeria

European Journal of Business and Management www. iiste. org ISSN 2222-1905 (Paper) ISSN 2222-2839 (Online) Vol 3, No. 12, 2011 43 | P a g e www. iiste. org Stock Market Volatility and Macroeconomic Variables Volatility in Nigeria: An Exponential GARCH... More

European Journal of Business and Management www. iiste. org ISSN 2222-1905 (Paper) ISSN 2222-2839 (Online) Vol 3, No. 12, 2011 43 | P a g e www. iiste. org Stock Market Volatility and Macroeconomic Variables Volatility in Nigeria: An Exponential GARCH Approach Isiaq Olasunkanmi OSENI (Corresponding Author) Department of Economics, Accounting and Finance Bells University of Technology Otta, Ogun State E-mail- osenibells@ymail. com Philip Ifeakachukwu NWOSA Department of Economics, Accounting and Finance Bells University of Technology Otta, Ogun State E-mail- nwosaphilip@yahoo. com Abstract This study employed AR (k)-EGARCH (p, q) technique to examine the volatility in stock market and macroeconomic variables, and used LA-VAR Granger Causality test to analyze the nexus between stock market volatility and macroeconomic variables volatility in Nigeria for the periods 1986 to 2010 using time-series data. The results of the findings revealed that there exists a bi-causal relationship betwee Less