Macroeconomic Determinants of Stock Market Volatility in Ghana and Nigeria
Macroeconomic Determinants of Stock Market Volatility in Ghana and Nigeria

Summary/Abstract: The paper seeks to investigate the effect of both internal and external macroeconomic on stock market return volatility in Ghana and Nigeria over 16 year period of January 2000 to December 2016. The study employs time series approach to investigate the impact of lag of stock market return, consumer price index, 91 days Treasury bill rate exchange rate between domestic currency and US dollar, real domestic product, international crude oil prices, London Stock Exchange all share index and political cycle (independent variables) on stock market volatility of Ghana and Nigeria (dependent variables). It uses Exponential Generalised Autoregressive Conditional Heteroskedascity (EGARCH) as the main model. The results from the study indicate that macroeconomic/political factors affect stock market volatility. This is one of the few studies on Ghana and Nigeria and probably on Africa which tests for stock market volatility as a result of internal and external macroeconomic variable fluctuations.

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