Analysis of Output Growth, Inflation and Interest Rates on Stock Market Return in Nigeria

摘要

This paper investigates the impact of output growth, interest rate and inflation rate on stock market returns both in the short run and long run using time series data for Nigeria for the period from 1986 to 2012. Using ordinary least squares (OLS), cointegration test and granger causality, the study findings suggest that NSE-All share index, inflation rate, interest rate and real GDP move together in the long run. Also, we found that interest rate and output growth have significant role on stock market return and performance. This suggests that interest rate represents alternative investment opportunities. Finally, we infer from the causality test that NSE-All Share Index has a feed-back effect on the rate of inflation and real gross domestic product and found a support for fisher effect for Nigeria.