MACROECONOMIC FACTORS’ EFFECTS ON THE PERFORMANCE OF THE NIGERIAN CAPITAL MARKET
Capital market is the major component of a modern market-based economic system as it serves as the channel for the flow of long-term financial resources from the savers of capital to the borrowers of capital. Hence, the study was carried out to examine the macroeconomic factors’ effects on the performance of the Nigerian capital market. Money supply (M2), exchange rate (EXR), consumer price index (CPI) and prime lending rate (PLR) were used as proxies for macroeconomic factors (explanatory variables), while market capitalization equities (MCE) was used as a proxy for the performance of Nigerian capital market (explained variable). The study made use of monthly time-series data which were sourced from the Nigerian Stock Exchange, Central Bank of Nigeria and Financial Market Dealers Association ranging from 2000M01 to 2019M12. Quantile Regression Technique was utilized to analyze the Quantile process estimates; Quantile slope equality test and Quantile symmetric test. The finding from Quantile process estimates revealed that there were significant variability in market capitalization equities across all quantiles caused by money supply and exchange rate. Also, market capitalization equities (MCE) bore insignificant and significant brunt of consumer price index and prime lending rate across all quantiles. The finding of Quantile slope equality test further confirmed that the connection between explanatory variables and explained variable understudy varies across quantile values, whereas the inter-quantile range proved that the slope equality test does not vary across quantile. More so, the finding of Quantile symmetry test demonstrated evidence of significant asymmetry between quantiles. However, the individual coefficient restriction test values exhibited evidence of symmetry across quantiles for all the variables understudy, except prime lending rate which showed evidence of asymmetry. In line with the findings, the study recommended that the regulatory authorities should intensify efforts towards creating a conducive and enabling environment that will deepen the capital market and enable the market to thrive.
Keywords: Macroeconomic factors, Quantile Regression technique, Nigerian capital market.