Economic and Financial Review


Alvan E. lkoku


Central Bank of Nigeria, Research Department.


Macroeconomic risk factors, Arbitrage pricing theory, Nigerian stock exchange


This paper investigated the sensitivity of sector 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 (API) 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.





Recommended Citation

lkoku A. E. (2014). The sensitivity of Nigerian stock exchange sectors to macroeconomic risk factors, Economic and Financial Review (EFR), 52(1), 47-63.



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