scholarly journals Effect of Monetary Policy on the Nigerian Stock Market: A Smooth Transition Autoregressive Approach

2021 ◽  
Vol 12 (No. 1) ◽  
pp. 1-21
Author(s):  
Jamilu S. Babangida ◽  
Asad-Ul I. Khan
Keyword(s):  
Monetary Policy ◽  
Stock Market ◽  
Money Supply ◽  
Stock Exchange ◽  
Smooth Transition ◽  
Exchange Market ◽  
Treasury Bill ◽  
Negative Effect ◽  
Effect Of Monetary Policy ◽  
Smooth Transition Autoregressive

This paper examines the nonlinear effect of monetary policy decisions on the performance of the Nigerian Stock Exchange market, by employing the Smooth Transition Autoregressive (STAR) model on monthly data from 2013 M4 to 2019 M12 for All Share Index and monetary policy instrument. This study considers the two regimes characterizing the stock market, which are the lower regime (the bear market) and the upper regime (the bull market). The results show evidence of nonlinear effect of monetary policy on the stock exchange market. Monetary policy rate, money supply, lagged monetary policy rate and lagged treasury bill rate are found to have significant positive effects on the stock exchange market in the lower regime while current treasury bill rate shows a negative effect. In the upper regime, money supply and lagged treasury bill rate have significant negative effect on the stock market. The current treasury bill rate is found to have a positive effect on the stock exchange market. It is recommended that the Central Bank of Nigeria should maintain a stable money supply growth that is consistent with increased activities in the Nigerian stock market.

THE INFLUENCES OF STOCK MARKET ON EXCHANGE-TRADED FUND UNDER THE THRESHOLD EFFECT OF MONETARY POLICY IN CHINA

2021 ◽  
pp. 1-21
Author(s):  
Tzu-Yi Yang ◽  
Phan Van Hung ◽  
Chia-Jui Chang ◽  
Nguyen Phuc Nguyen
Keyword(s):  
Monetary Policy ◽  
Stock Market ◽  
Threshold Effect ◽  
Smooth Transition ◽  
Exchange Traded Funds ◽  
Market Returns ◽  
Stock Market Returns ◽  
Market Variables ◽  
Effect Of Monetary Policy ◽  
Exchange Traded Fund

This paper estimates the smooth transition autoregressive model with exogenous variables to evaluate the effects of stock market returns on the exchange-traded funds’ (ETFs) returns in China with reserve requirement ratio (RRR) from monetary policy as a transition variable. The sample used in this study lasts from March 4, 2005 to June 30, 2017. The empirical result points out that there is the effect of RRR value on the relationship between stock market returns and ETF return. Moreover, these effects are variable depending on the conversion and its changes over time in different variations of threshold intervals. Lastly, the larger the change of China’s stock market variables’ lag period, the smaller the impacts on Chinese ETF return.

Monetary Policy and Commercial Bank Lending to the Real Sector in Nigeria: A Time Series Study

2018 ◽  
Vol 2 (1) ◽  
pp. 10-41
Author(s):  
Ogolo . ◽  
Tamunotonye Magnus
Keyword(s):  
Monetary Policy ◽  
Exchange Rate ◽  
Interest Rate ◽  
Money Supply ◽  
Commercial Banks ◽  
Bank Lending ◽  
Real Sector ◽  
Treasury Bill ◽  
The Real ◽  
Negative Effect

This study empirically examined the effects of monetary policy on commercial banks lending to the real sector from 1981 – 2014. The objective was to examine the effectiveness of monetary policy in channeling bank credit to the real sector. Annual time series data were sourced from Central Bank of Nigeria statistical bulletin. Two multiple regression models were specifically estimated with the aid of Software Package for Social Sciences. The study modeled commercial banks credit to agricultural and manufacturing sector as the function of interest rate, monetary policy rate, treasury bill rate, exchange rate, broad money supply and liquidity ratio. The result shows collinearity that corresponds with the Eigen value condition index, and variance constant are less than the required value. The Durbin Watson statistics shows the absence of multiple auto correlation and negative autocorrelation, while the variance inflation factors indicate the absence of auto-correlation. The regression results from model one found that interest rate, monetary policy rate have positive relationship with commercial banks lending to the agricultural sector while Treasury bill rate, exchange rate, broad money supply and liquidity ratio have negative effect on the dependent variable. Model two found that interest rate, Treasury bill rate, exchange rate, broad money supply and liquidity ratio have negative effect on commercial banks lending the manufacturing sector while monetary policy rate have positive relationship with the dependent variable. We recommend that monetary policy should be harmonize with bank lending objectives to enhance commercial banks lending to the real sector of the economy and that management of commercial banks should formulate policies of managing the negative effect of monetary policy variables on its lending.

scholarly journals Impact of Monetary Policy on Value of Stock Traded: Short Run and Long Run Evidence from Nigerian Stock Exchange (1987- 2017)

2019 ◽  
pp. 1-9
Author(s):  
Chinedu Maurice Umezurike ◽  
Amalachukwu Chijindu Ananwude
Keyword(s):  
Monetary Policy ◽  
Stock Market ◽  
Central Bank ◽  
Stock Exchange ◽  
Negative Relationship ◽  
Financial Resources ◽  
Annual Data ◽  
Long Run ◽  
Short Run ◽  
Effect Of Monetary Policy

This study examined the effect of monetary policy on value of stock traded in Nigerian Stock Exchange. Specifically, we ascertained the effect of monetary policy rate, liquidity ratio and loan to deposit ratio on value of stock traded using the Autoregressive Distribute Lag (ARDL) based on annual data from 1986 to 2017. Our findings showed that monetary policy rate, liquidity ratio and loan to deposit ratio have no significant effect on value of stock traded. Monetary policy rate maintained a negative relationship with value of stock traded, while liquidity ratio and loan to deposit ratio positively correlated with value of stock traded. We are vehemently of the view that expansionary monetary policy that guarantees adequate liquidity in the economy should be pursued vigorously by the Central Bank of Nigeria. Adequate level of liquidity offers firms’ in the stock market better access to financial resources which will increase their revenue and thus appreciation in their stocks trading.

scholarly journals Effect of Money Supply on the Stock Market

2017 ◽  
Vol 65 (2) ◽  
pp. 465-472 ◽  
Author(s):  
Vladimír Pícha
Keyword(s):  
Monetary Policy ◽  
Stock Market ◽  
Money Supply ◽  
Policy Framework ◽  
Vector Error Correction ◽  
Flow Of Funds ◽  
Portfolio Balance ◽  
Vector Error ◽  
Long Run ◽  
The Impact

This paper observes effect of money supply on the stock market through the portfolio balance channel as a transmission mechanism of monetary policy. National flow of funds accounts, specifically assets from US households’ portfolios, represent a key data source. Johansen’s cointegration methodology is employed in the empirical part of the paper to analyze both short term and long term relationships among researched variables. Estimates of vector error correction model help to reliably quantify intensity of the effect. Results show money supply excercises influence on valuation of S&P 500 index with 6 months lag. The impact is also distinguishable in the long run, whereas all observed asset classes can positively influence price of S&P 500. Findings are then contextualized in the concluding part of the paper using a monetary policy framework.

scholarly journals Monetary Policy and Liquidity of Vietnam’s Stock Market

2016 ◽  
Vol 23 (02) ◽  
pp. 02-21
Author(s):  
Ly Tran Thi Hai
Keyword(s):  
Time Series ◽  
Monetary Policy ◽  
Stock Market ◽  
Money Supply ◽  
Industrial Production ◽  
Market Liquidity ◽  
Var Model ◽  
Market Returns ◽  
Liquidity Measures ◽  
The Impact

This study investigates the impact of monetary policy on liquidity of Vietnam’s stock market from September 2007 to November 2014. Time series of liquidity are determined by monthly liquidity data for 643 enterprises in the surveyed period. Two variables of the monetary policy, including growth in money supply and interbank rate, are employed in VAR model along with four different measures of market liquidity. The results show that unexpected variance in the two monetary policy variables has no significant impact on the market liquidity, which, in turn, may be improved by the positive shocks of market returns, inflation, and growth in industrial production. Market variance does produce certain effects, but discrepancies occur in the signs of various liquidity measures.

scholarly journals Stock Market Returns and Shareholders’ Wealth Sustainability of Companies Listed on the Nigerian Stock Exchange

2020 ◽  
pp. 27-45
Author(s):  
Adekunle Orelope Koleosho ◽  
Folajimi Festus Adegbie ◽  
Ayooluwa Olotu Ajayi- Owoeye
Keyword(s):  
Stock Market ◽  
Stock Exchange ◽  
Market Price ◽  
Secondary Data ◽  
Target Population ◽  
Validity And Reliability ◽  
Market Returns ◽  
Stock Market Returns ◽  
Ex Post ◽  
Negative Effect

Sustainability of shareholder’s wealth has been a subject of discussion globally due to various decisions of the managers and the effect it has on company’s performance. Various corporate actions and information about the companies are disseminated over time and studies have shown the effect on shareholder's wealth. This study examined the effect of capital market returns on sustainability of shareholder's wealth in Nigeria Listed Companies. The study adopted ex-post facto research design. A sample of 57 companies from a target population of 168 companies listed on the Nigerian Stock Exchange (NSE) as December 2018 was randomly drawn across the various market sectors for the panel data. The study used secondary data from the NSE, CBN and companies’ data on the Bloomberg Terminals. Validity and reliability were premised on the statutory audit of the financial statement. The study adopted descriptive and inferential (Regression and Correlation) statistics to analyze the data. The study found that the stock market returns indicators (dividend per share, earnings and Leverage) have joint and statistically significant relationship with market price per share: DPS, EPS and LEV with Adjusted R2 = 0.738, F(3, 796) = 54.74, p = 0.108 > 0.05. The study concluded that stock market returns measured by dividend and earnings have a significant effect on the shareholders' wealth while leverage exerts a negative effect on Market Price per share. The study recommended that the management of the companies should embrace the payment of dividend to shareholders while ensuring the growth of earnings over the period to sustain shareholder's wealth.

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