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The Sensitivity Of Nigerian Stock Exchange Sectors To Macroeconomic Risk Factors, A. E. Ikoku
The Sensitivity Of Nigerian Stock Exchange Sectors To Macroeconomic Risk Factors, A. E. Ikoku
Economic and Financial Review
This paper investigated the sensitivity of sectoral index returns on the Nigerian Stock Exchange to macroeconomic risk factors such as the spread between deposit and lending rates of banks, the slope of the yield curve, broad money supply, interest rates, exchange rates, inflation and the international price of oil. We found that the Banking, Food and Beverage, and Insurance sectors were sensitive to some macroeconomic risk factors but not to others. The Oil and Gas sector was sensitive to the slope of the yield curve only. This study estimated the elasticities of macroeconomic factors in the Nigerian Stock Exchange using …