About: Testing the nexus between stock market returns and inflation in Nigeria: Does the effect of COVID‐19 pandemic matter?

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About: Testing the nexus between stock market returns and inflation in Nigeria: Does the effect of COVID‐19 pandemic matter? Goto Sponge NotDistinct Permalink

An Entity of Type : schema:ScholarlyArticle, within Data Space : covidontheweb.inria.fr associated with source document(s)

Attributes	Values
type	Academic Article research paper schema:ScholarlyArticle
isDefinedBy	Covid-on-the-Web dataset
has title	Testing the nexus between stock market returns and inflation in Nigeria: Does the effect of COVID‐19 pandemic matter?
Creator	Jelilov, Gylych Paul, \| Yua, Paul Iorember, Terhemba Usman, \|
Source	Medline; PMC
abstract	Given the palpable fear generated by the threat of COVID‐19 pandemic and the bearish sentiments of stock investors, this study represents one of the first efforts towards testing the effect of COVID‐19 on the stock market returns‐inflation relationship. Specifically, the study investigates the stock market returns–inflation nexus by controlling for the effect of COVID‐19 pandemic in Nigeria from February 27, 2020 to April 30, 2020. Using the estimation procedures based on the generalized autoregressive conditional heteroskedasticity type models (GARCH (1,1), the GJR‐GARCH), and the accounting innovation tests, our results show that COVID‐19 increases volatility and distorts the positive relationship between inflation and stock market returns, which tends to negate the Fisher's hypothesis. In addition, the results reveal that the negative effects of COVID‐19 on the market returns and its disruption to the stock market returns—inflation relationship may not die away rapidly considering that the duration of the pandemic is unknown. Further, these findings are validated by the innovation accounting tests. Therefore, the study presents to policymakers the consequences of COVID‐19 and the urgent need to strengthen the market through collaborative efforts.
has issue date	2020-08-13(xsd:dateTime)
bibo:doi	10.1002/pa.2289
bibo:pmid	32837326
has license	no-cc
sha1sum (hex)	e0b33b8ef88f34473040a7d2f6601fb5f3eaffc1
schema:url	https://doi.org/10.1002/pa.2289
resource representing a document's title	Testing the nexus between stock market returns and inflation in Nigeria: Does the effect of COVID‐19 pandemic matter?
has PubMed Central identifier	PMC7435360
has PubMed identifier	32837326
schema:publication	J Public Aff
resource representing a document's body	covid:e0b33b8ef88f34473040a7d2f6601fb5f3eaffc1#body_text
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