Systemic Risk and Dynamics of Stock Prices: A Short and Long Run Analysis from Nigeria Capital Market

  • Fortune Bella Charles Department of Banking and Finance, Rivers State University, Rivers State, Nigeria
  • Charles Ugochukwu Okoro Department of Accountancy, Ken Saro-Wiwa Polytechnic, Bori, Rivers State, Nigeria
Keywords: Systemic Risk, Stock Prices, Short and Long Run, Nigeria, Capital Market

Abstract

This study examined the effect of systemic risk on the dynamics of stock prices in Nigeria capital market. The objective was to investigate the dynamic effect of systemic risk on stock prices traded on the floor of Nigeria stock exchange. Time series data was sourced from Central Bank of Nigeria Statistical Bulletin from 1990-2017.  Stock prices were modeled as the function of prices risk, liquidity risk, interest rate risk and exchange rate risk. Multiple regression with ordinary least square properties of co-integration was used to examine the relationship between the dependent and the independent variables. The study found  price and liquidity risk have positive effect on stock price while interest rate and exchange rate risk have negative effect on stock prices of equities traded on Nigeria stock exchange. It concludes that systemic risk has significant effect on stock prices and recommends, among others, that the management of the capital market should ensure that the operating environment is risk minimum to ensure appreciable stock prices by developing strategies and policies aim at managing the systematic risk in the operating environment and engage a regular environmental impact assessment on systemic risk, to avert it’s negative effect on stock prices.

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Published
2019-01-05
How to Cite
Charles, F. B., & Okoro, C. U. (2019). Systemic Risk and Dynamics of Stock Prices: A Short and Long Run Analysis from Nigeria Capital Market. American International Journal of Business and Management Studies, 1(1), 1-19. https://doi.org/10.46545/aijbms.v1i1.35
Section
Research Articles