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International Journal of Innovation and Applied Studies
ISSN: 2028-9324     CODEN: IJIABO     OCLC Number: 828807274     ZDB-ID: 2703985-7
 
 
Thursday 15 November 2018

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Regime-based Causality Analysis of Crude Oil Price - Stock Market and Economic Growth Nexus: Evidence from Nigeria


Volume 15, Issue 1, March 2016, Pages 191–209

 Regime-based Causality Analysis of Crude Oil Price - Stock Market and Economic Growth Nexus: Evidence from Nigeria

Nsisong Patrick Ekong1, Patrick Oseloka Ezepue2, Uduak Sylvester Akpan3, and Imoh Udoh Moffat4

1 Department of Mathematics and Statistics University of Uyo, Nigeria
2 Sheffield-Hallam University, Sheffield, United Kingdom
3 African Development Bank, Tunisia
4 Department of Mathematics and Statistics, University of Uyo, Nigeria

Original language: English

Received 2 February 2016

Copyright © 2016 ISSR Journals. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.

Abstract


The purpose of this study is to diagnose the causal relationships between crude oil price and the indicators of the stock market, and on the economic growth in Nigeria, a typical oil-dependent economy during the regime of global financial crisis and regime of no global financial crisis using a dummy-augmented Toda and Yamamoto causality testing procedures. Dummy-augmented model is used to assess the relative causal impacts of the variables on another in the regime of global financial crisis and regime of no global financial crisis. The results of the empirical findings imply that the causal relationship between the oil prices, the stock market indicators and the economic growth may be better in diagnosed if adequate attention is given to the two economic regimes using the augmented T-Y model.

Author Keywords: Regime-based, Cointegration, Causality, Nigeria.


How to Cite this Article


Nsisong Patrick Ekong, Patrick Oseloka Ezepue, Uduak Sylvester Akpan, and Imoh Udoh Moffat, “Regime-based Causality Analysis of Crude Oil Price - Stock Market and Economic Growth Nexus: Evidence from Nigeria,” International Journal of Innovation and Applied Studies, vol. 15, no. 1, pp. 191–209, March 2016.