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The Sensitivity Of Sector Stock Returns To Exchange Rate Risks In Nigeria, M. A. Adebiyi, M. O. Abeng

Economic and Financial Review

Exchange rate exposure has been identified in the literature as one of the standard metrics for measuring the performance of stock returns in both advanced and developing economies. This study adopts the capital market approach in investigating the effects of exchange rate exposure on stock returns in Nigeria, using monthly data spanning 2009 to 2018. The findings show that three sector stock returns, namely the NSE30, pension and banking indices, were significantly vulnerable to nominal effective exchange rate and bilateral exchange rates shocks. The non-significance of energy sector, proxied by the oil and gas, to exchange rate risk, is puzzling, …