This thesis examines the response of the Nigerian equity market to monetary policy adjustments (measured by Treasury bill rate and broad money supply) before and after the global financial crisis using the autoregressive distributed lag (ARDL) approach to cointegration. The analysis is conducted on an initial monthly sample period from January 2000-June 2016 incorporating structural breaks captured by a crisis dummy which assumes the value of 1 from September 2008 to June 2010. Two sub-sample analysis are further conducted for January 2000-August 2008 and September 2008 -June 2016 based on an endogenously determined break date using the breakpoint test. Results indicate the presence of cointegration among stock price, domestic treasury bills rate, broad money supply, exchange rate and the US federal funds rate. Whereas short-term policy rate measured by treasury bills rate is weak with low impact on the stock market across all samples, broad money supply is consistent in providing evidence as a potent monetary policy in all sample periods. Its positive impact is much stronger during the crisis/post crisis period reinforcing the strength of the credit and liquidity channel during crisis and provides support for the lender of last resort function of the central bank. Nevertheless, evidence points to a prolonged recovery for the equity market which could be further impeded in the presence of negative shocks. I find that the Nigerian equity market is more sensitive to adjustments in the US monetary policy measured by the US federal funds rate as well as exchange rate further indicating a high reliance on external financing. Hence, the drive for increased domestic portfolio participation in the equity market should be continuously enhanced to limit the potential risks of outbound flows of foreign portfolio capital. These findings have implication for monetary policy implementation as well as stock market development initiatives.
본 연구는 ARDL 접근법을 이용하여 나이지리아의 통화 정책이 주식 시장에 미치는 영향을 세계 금융 위기 전후에 대하여 분석한다. 2000년 1월부터 2016년 6월까지의 기간에 대해 나이지리아 주식 시장을 실증 분석한 결과, 통화 정책에 대한 지표는 주식 시장 수익률과 유의한 관계가 있으며 특히 금융 위기 동안과 금융 위기 이후에 더 유의한 것으로 나타났다. 또한, 나이지리아 주식 시장은 미국의 통화 정책 지표에 더 크고 유의한 영향을 받는 것으로 나타났다.
