ABSTRACT The broad objective of the

ABSTRACT
The broad objective of the study is to examine the suitability of the APT in explaining stock returns in Nigeria. Specifically, the study examines the significance of money supply, exchange rate, inflation and oil prices in explaining stock returns in the Nigerian stock market. The study adopts a timeseries research design while Secondary data in quarterly estimates for All share index, oil prices, money supply, Gross Domestic Product, Exchange rate, inflation and interest rate for the period 2000Q1 2010Q4 were used for the analysis. The method of data estimation is the cointegration and error correction methodology (ECM). The findings reveal that money supply (M2) appeared to be negative and also a significant determinant of stock returns both in the long run and the short run dynamic model for both one period and two period lags at 5% and 10% significance levels. Exchange rate was also observed to be negatively related to stock returns in both the long run and the short run dynamic model for both one period lag and two period lags. However, the result appeared to be insignificant at 5% and 10% significance levels. Interest rate was also observed to be negatively related to stock returns in both the long run and the short run dynamic model for both one period lag and two period lags. The slope coefficient appeared to be insignificant at 5% and 10% significance levels at both the long run and short run. Oil prices was also observed to be negatively related to stock returns in both the long run and the short run dynamic model for both one and two period lags respectively. The slope coefficient also appeared to be significant at 5% and 10% significance levels at both the long and short run while the error correction coefficient is rightly signed. The conclusion is that though the APT macroeconomic variables can explain stock returns, not all the variables are significant both in the long run and in the short run. The recommendation is that there is the need for sensible coordination of macroeconomic policies in Nigeria.
Key words:
arbitrage pricing theory, macroeconomic variables,
Nigerian stock market

Hasil (Bahasa Indonesia) 1:

ABSTRAK The broad objective of the study is to examine the suitability of the APT in explaining stock returns in Nigeria. Specifically, the study examines the significance of money supply, exchange rate, inflation and oil prices in explaining stock returns in the Nigerian stock market. The study adopts a timeseries research design while Secondary data in quarterly estimates for All share index, oil prices, money supply, Gross Domestic Product, Exchange rate, inflation and interest rate for the period 2000Q1 2010Q4 were used for the analysis. The method of data estimation is the cointegration and error correction methodology (ECM). The findings reveal that money supply (M2) appeared to be negative and also a significant determinant of stock returns both in the long run and the short run dynamic model for both one period and two period lags at 5% and 10% significance levels. Exchange rate was also observed to be negatively related to stock returns in both the long run and the short run dynamic model for both one period lag and two period lags. However, the result appeared to be insignificant at 5% and 10% significance levels. Interest rate was also observed to be negatively related to stock returns in both the long run and the short run dynamic model for both one period lag and two period lags. The slope coefficient appeared to be insignificant at 5% and 10% significance levels at both the long run and short run. Oil prices was also observed to be negatively related to stock returns in both the long run and the short run dynamic model for both one and two period lags respectively. The slope coefficient also appeared to be significant at 5% and 10% significance levels at both the long and short run while the error correction coefficient is rightly signed. The conclusion is that though the APT macroeconomic variables can explain stock returns, not all the variables are significant both in the long run and in the short run. The recommendation is that there is the need for sensible coordination of macroeconomic policies in Nigeria. Kata kunci: arbitrasi harga teori, variabel ekonomi makro, Nigeria pasar saham

Hasil (Bahasa Indonesia) 2:

ABSTRAK
Tujuan umum penelitian ini adalah untuk menguji kesesuaian APT dalam menjelaskan return saham di Nigeria. Secara khusus, penelitian ini meneliti pentingnya uang beredar, nilai tukar, inflasi dan harga minyak dalam menjelaskan return saham di pasar saham Nigeria. Studi ini mengadopsi desain penelitian waktu? Seri sedangkan data sekunder dalam perkiraan kuartalan untuk Semua indeks saham, harga minyak, pasokan uang, Produk Domestik Bruto, nilai tukar, inflasi dan suku bunga untuk periode 2000Q1? 2010Q4 digunakan untuk analisis. Metode estimasi data co? Metodologi integrasi dan error correction (ECM). Temuan menunjukkan bahwa jumlah uang beredar (M2) tampaknya negatif dan juga penentu signifikan saham kembali baik dalam jangka panjang dan model dinamis jangka pendek untuk kedua periode satu dan dua periode tertinggal di 5% dan 10% tingkat signifikansi. Nilai tukar juga diamati secara negatif terkait dengan return saham baik dalam jangka panjang dan model dinamis jangka pendek untuk kedua satu lag periode dan dua tertinggal periode. Namun, hasilnya tampak signifikan pada 5% dan 10% tingkat signifikansi. Suku bunga juga diamati secara negatif terkait dengan return saham baik dalam jangka panjang dan model dinamis jangka pendek untuk kedua satu lag periode dan dua tertinggal periode. Koefisien slope tampaknya tidak signifikan pada 5% dan 10% tingkat signifikansi di kedua jangka panjang dan jangka pendek. Harga minyak juga diamati secara negatif terkait dengan return saham baik dalam jangka panjang dan model dinamis jangka pendek untuk satu dan dua periode LAG masing-masing. Koefisien slope juga tampak signifikan pada 5% dan 10% tingkat signifikansi di kedua jangka panjang dan pendek sedangkan koefisien koreksi kesalahan benar ditandatangani. Kesimpulannya adalah bahwa meskipun variabel makroekonomi APT dapat menjelaskan return saham, tidak semua variabel yang signifikan baik dalam jangka panjang dan dalam jangka pendek. Rekomendasinya adalah bahwa ada kebutuhan untuk koordinasi yang masuk akal dari kebijakan ekonomi makro di Nigeria.
Kata kunci:
teori arbitrase harga, variabel makroekonomi,
pasar saham Nigeria