FINANCIAL MARKET RETURNS VOLATILITY IN OIL-EXPORTING COUNTRIES
- David Umoru
- Beauty Igbinovia
- Oseni Hussein Omomoh
- Umole Igienekpemhe Mohammad
- ( paper pages. 193 - 224 )
Abstract
The interconnectedness amongst three financial markets
namely, foreign exchange, stock, and digital currency market returns are the
main focus of this study in ten oil-exporting nations. The study sampling
period spans 1995 to 2023. The empirical analysis was based on the cross
sectional augmented ARDL and the quantile-by-quantile (QQR) estimation methods.
We employed the Breusch-Pegan LM and Pesaran CD test to analyse the dataset to
see if cross-sectional dependence existed. Dynamic interaction was found in
returns on digital currency stock returns, and returns on currency exchange
rates in both the short-run and long-run periods. The study also established
that stock market reacts differently to changes in exchange rates while
exchange rate reacts differently to the stock market. Such asymmetry also
applies to the digital currency market. Stock returns are dynamically sensitive
in a positive direction to the effects of rate changes; returns on digital
currency negatively react to the dynamic effects of exchange rates and this can
be explained in terms of price determination through this market's buyer-seller
interactions; while returns on stock and bitcoin markets are also dynamically
sensitive in a positive direction. The implication is that both the forex and
digital markets have a bearing on asset prices and vice versa. The results of
the study have implications for financial market transactions.
Citation
David Umoru, Beauty Igbinovia, Oseni Hussein Omomoh, Umole Igienekpemhe Mohammad.
2025.
"FINANCIAL MARKET RETURNS VOLATILITY IN OIL-EXPORTING COUNTRIES"
The Nigerian Journal of Economic and Social Studies,
67 (2): 193 - 224.
JEL Classification
F32, G18, E20
