Economic and Financial Review


Central Bank of Nigeria


Macroeconomic Risk Factors, Arbitrage Pricing Theory, Nigerian Stock Exchange, Sectoral Indices


This paper investigated the sensitivity of sectoral index returns on the Nigerian Stock Exchange to macroeconomic risk factors such as the spread between deposit and lending rates of banks, the slope of the yield curve, broad money supply, interest rates, exchange rates, inflation and the international price of oil. We found that the Banking, Food and Beverage, and Insurance sectors were sensitive to some macroeconomic risk factors but not to others. The Oil and Gas sector was sensitive to the slope of the yield curve only. This study estimated the elasticities of macroeconomic factors in the Nigerian Stock Exchange using the sectoral indices. It is also one of the few studies that has tested the Arbitrage Pricing Theory (APT) on distinct sectors of the Nigerian Stock Exchange. A number of policy implications on prudential guidelines, sectoral inventions, direction of investments and hedging strategies are indicated.

Author Bio

The author Ikoku Alvan Enyinnaya is a staff of the Central Bank of Nigeria

Publication Title

CBN Economic and Financial Review





Recommended Citation

Ikoku A. E. (2014). The Sensitivity of Nigerian Stock Exchange Sectors to Macroeconomic Risk Factors. CBN Economic and Financial Review. 52(1), 47-63

Included in

Finance Commons



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