The researchers investigated the impact of some macro-economic variables on stock price volatility in the Nigeria’s stock market using annual data from the Central Bank of Nigeria statistical bulletin and the Nigerian stock exchange publications for the years 1988 to 2012. The macro-economic variables used in this study are industrial production, unemployment and trade balance. The impact of macro-economic variable on stock price volatility was investigated using the EGARCH technique. The study revealed that a shock in trade balance has a positive relationship on stock price volatility. Other variables: industrial production and unemployment do not have well defined effect on stock price volatility. The government, regulatory agencies especially in connection with the Nigerian Stock Exchange should always ensure that stock price volatility is not manipulated by any individual or group of individuals for their own benefit. The Nigerian Stock Exchange should track likely factors that are responsible for stock prices volatility so as to guide investors in decision making.
展开▼
