Short and Long Run Relationship Between Value of Total Stock Exchange Transaction and Key Macroeconomic Variables in Nigeria. A Cointegration Approach

Abstract

The study analyzed the short run and long run influenced of some macroeconomic variables on ttotal stock
transactions in the Nigerian stock exchange market. Unit root test (Augmented Dicker Fuller test) conducted on the data shows
that all variables are integrated of order one. The short-run and long-run elasticities of total stock transaction with respect to
some key macro-economic variables were determined using the techniques of co-integration and error correction estimation.
The empirical results reveal that coefficients of industrial capacity utilization rate, domestic savings, external reserves, total value
of import and lending rate of commercial Banks are significant in the long run. Whereas the coefficients of external debt,
domestic savings, total import, per capita real GDP; industrial capacity utilization and index of agricultural production were
significant in the short run. The result calls for a policy package that should focused on stabilization of the real and monetary
policy variables in the Nigerian economy. Also, institutional and operational reforms in the country’s capital market are inevitable
in a bit to increase the stock exchange market’s efficiency.