Ogiemudia, Omorose A.; Osifo, Osagie; Eghosa, Igbinovia L. - In: CBN journal of applied statistics 13 (2022) 2, pp. 79-115
vector error correction model (VECM) to determine the short run dynamics and long run effect of market risk factors on stock … return. The findings revealed that a dynamic relationship exists between market risk factors and stock returns in Nigeria … risk factors of exchange rate, oil price, interest rate and political instability risks are major determinants of stock …