Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/303601 
Year of Publication: 
2022
Citation: 
[Journal:] Cogent Economics & Finance [ISSN:] 2332-2039 [Volume:] 10 [Issue:] 1 [Article No.:] 2045719 [Year:] 2022 [Pages:] 1-26
Publisher: 
Taylor & Francis, Abingdon
Abstract: 
This study examines the effect of exchange rate shocks on ten (10) sectoral stock returns in Nigeria from January 2007 to December 2018. The autoregressive distributed lag and nonlinear autoregressive distributed lag are employed to examine symmetric and asymmetric relationship between exchange rate and sectoral stock returns. The result shows that only financial service sector moves in an asymmetric fashion in the short and long period without taking account of structural breaks and with structural breaks, none of the sectoral stock returns were asymmetric. The result shows that exchange rate movement affects the sectors differently. Therefore, this study concludes that a single model cannot fit all the sectoral stock returns because all sectors respond differently to exchange rate movements and the information about a particular sector cannot be used to forecast other sectors. These results offer important insights for investors, regulators and policymakers.
Subjects: 
Exchange rate
stock returns
Asymmetry
structural breaks
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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