Applied Journal of Economics, Management and Social Sciences

Currency Volatility Risk, VIX and Equity Market Performance of Developed Countries: Quantile and Markov Regressions Analysis

2025-04-16T16:25:44+01:00

The susceptibility of financial markets to macroeconomic variables and other risk factors globally raises the need for this research. The focus of the study is to analyze the impact of exchange rate policy regime shifts and the outbreak of pandemics on stock market returns and prices in developed countries. The study used the Markov switching model. Quantile regressions were also estimated to substantiate the credibility of the results. The study found that exchange rate risk caused significant reductions in stock values. Since the VIX index served as the switching predictor variable, the results suggest that in the state of falling expectations as regard market uncertainty, there was a corresponding upward adjustment in stock market prices, while rising market expectations of volatility and uncertainty, stock prices jumped up. These portray downward adjustments in the prices of equities and consequently return whenever there is a percentage rise in the interaction index. Stressful market circumstances made evident in market sentiments, embrace algorithmic trading and high-frequency traders, magnify price swings and exacerbate instantaneous market reactions to news or events regardless of the regime. This amplifies uncertainty about the market and significantly discourages stock returns. Volatility lowers business performance, weakens investors' market engagements, and lowers firm share returns. Accordingly, the findings support earlier research that a rise in VIX heightens investors' anxiety over the significant suspense of volatile stock market price swings and declining returns. The research outcomes are significant for use by market traders, investors and policy makers. Investors should use volatility risk projections to inform their investment choices, such as options or volatility-based trading. Financial regulation may be required to monitor and control excessive volatility, since extended periods of volatility destabilizes financial markets and damage investor trust.

Assessing the Short- and Long-Term Impact of Inflation Targeting Framework in Nigeria

2025-01-28T08:23:16+00:00

This study evaluates the short- and long-term impact of inflation targeting on inflation control in Nigeria, considering the country's unique structural challenges. Using annual time series data from 1981 to 2023, the study employs the Autoregressive Distributed Lag (ARDL) model to assess the relationship between key macroeconomic variables such as inflation, monetary policy rate, central bank communication and transparency, money supply, real GDP, insecurity, and central bank independence. The findings reveal that while the monetary policy rate and central bank communication and transparency significantly reduce inflation, factors such as insecurity and money supply contribute to inflationary pressures. The results emphasize the importance of central bank independence and effective communication for the successful implementation of the inflation targeting framework. Additionally, the study highlights the limitations of inflation targeting in addressing structural challenges, such as supply-side constraints and insecurity. In conclusion, the study provides critical insights into the feasibility of adopting an inflation-targeting framework in Nigeria and suggests policy improvements for better inflation management.

Evaluating the Impact of Collective Investment Scheme Expenses and Age on Investment Performance of Selected Fund Managers in Nigeria

2025-01-28T08:14:16+00:00

Collective Investment Schemes (CIS) serve as powerful vehicles for wealth creation, offering investors opportunities to benefit from professional fund management and diversification. This study evaluated the impact of CIS expenses and fund age on the performance of selected fund managers registered by the Securities and Exchange Commission (SEC) in Nigeria. The population included all 153 CIS operating in Nigeria as of December 2023. Using a purposive sampling technique, a sample of 45 funds was selected based on criteria that included investment in Nigerian securities and a minimum operational period of three years, ensuring the sample’s relevance and adequacy. A longitudinal research design was adopted, and secondary data were gathered from financial statements and SEC filings covering the period from 2014 to 2023. The Difference Generalized Method of Moments (GMM) regression was applied to account for endogeneity and cross-sectional dependence in the panel data. The findings revealed that both CIS expenses and fund age had a negative and statistically significant impact on performance. High expenses eroded returns, reducing Net Asset Value (NAV), while fund age negatively affected performance, suggesting that older funds may face structural or strategic limitations that curb growth. Based on these results, it is recommended that SEC Nigeria strictly enforce regulatory limits on CIS expenses to promote cost efficiency. To improve performance in older funds, it is suggested that fund managers periodically revise investment strategies to ensure greater adaptability.

Assessing the impact of Risk Levels and fund size on Collective Investment Performance of Selected Fund Managers in Nigeria

2024-11-17T12:43:59+00:00

Collective investment schemes are vital tools for wealth creation, providing investors access to professional fund management and diversification. This study examined the impact of risk levels and fund size on the performance of selected fund managers in Nigeria from 2014 to 2023. Secondary data from the top 10 collective investment schemes and the Securities and Exchange Commission (SEC) were analyzed using the Difference Generalized Method of Moments (GMM) to address endogeneity, serial correlation, and cross-sectional dependence. Results showed that higher risk levels significantly improved investment performance, with managers who embraced more risk achieving better returns. Fund size also had a positive effect, as larger funds benefited from economies of scale and broader diversification. Additionally, past performance strongly influenced future returns, highlighting persistence in fund managers’ abilities. The study recommends that the SEC and fund management firms develop clearer risk management guidelines to encourage balanced risk-taking. Fund managers should focus on expanding their asset base through marketing and innovation, supported by SEC incentives to improve market liquidity. Enhanced transparency in performance reporting, aligned with global standards, is also advised to facilitate informed investor decisions and improve accountability.

Does Institutional Quality Drive Economic Growth in the West African Monetary Zone?

2024-11-05T17:35:27+00:00

This study investigates the influence of institutional quality on economic growth within the West African Monetary Zone (WAMZ) using panel Autoregressive Distributed Lag (ARDL) model techniques on data from 1990 to 2022. The findings highlight the crucial role of institutional quality in fostering long-run economic growth in the region. Notably, the control of corruption demonstrates a positive and significant impact on growth over the long run. However, its effect is insignificant in the short run. Conversely, economic freedom appears to impede growth in both time frames, with its short-run impact being statistically insignificant. The analysis indicates that the economy adjusts to long-run equilibrium at a rate of 83.39% following short-run deviations. Additionally, there is a unidirectional causality from control of corruption to economic growth, alongside a bidirectional causality between the economic freedom index and growth. Based on these findings, this study recommends that WAMZ governments prioritize strengthening legal and regulatory frameworks to combat corruption and enhance institutional transparency. Furthermore, the WAMZ government and policymakers should ensure a balanced approach between deregulation and necessary oversight, which is crucial for fostering sustainable economic growth in the region.

Effect of Foreign Capital Inflow on Economic Growth In Sub-Saharan Africa

2024-10-10T10:54:26+01:00

Foreign capital inflows have been judged to play a critical role in economic growth providing the necessary capital to fuel economic development. However, the effect of these capital inflows on economic growth in Sub-Saharan Africa (SSA) has been a subject of debate, with varying results across different studies. This study investigates the effect of foreign capital inflows on economic growth across 26 selected Sub-Saharan African (SSA) countries from 1998 to 2022. The study uses Foreign Direct Investment (FDI), Foreign Portfolio Investment (FPI), and Official Development Assistance (ODA) as proxies for foreign capital inflow, while real Gross Domestic Product (RGDP) is used to measure economic growth. Data was sourced from the World Bank Development Indicators (WDI), and the System Generalized Method of Moments (GMM) was employed for data analysis. The findings reveal that both FDI and FPI have a significant positive effect on economic growth in SSA at the 5% significance level. While ODA also shows a positive effect on economic growth, it is not statistically significant at the 5% level. The study concludes that Foreign Direct Investment and Foreign Portfolio Investment inflows enhance economic growth in SSA. The study recommends emphasizing local content in FDI to stimulate sustained economic growth, enhancing SSA’s capital market to attract more FPI through competitive international coupon rates, and reviewing SSA’s institutional framework for foreign aid utilization to address loopholes that may hinder short-term growth.

Human Resources Policies and Employee Performance: Evidence from Federal Neuro-Psychiatric Hospital, Yaba, Lagos.

2024-09-16T11:46:49+01:00

Employee performance is a fundamental driver of organizational success. Various factors influence performance, including the implementation of effective human resource policies that shape the management and development of employees to maximise their potential and contribute to organizational goals. This study aimed to investigate the effect of human resource policies and employee performance at the Federal Neuropsychiatric Hospital, Yaba, Lagos, by examining the relationship between employee engagement and employee efficiency, organisational culture, and teamwork and collaboration. The sample size for the study was 289, and a structured five-point Likert-type questionnaire was used for data collection. Regression analysis was used to determine the effects of study indicators. The results showed that both employee engagement and organisational culture had a significant effect on employee efficiency, teamwork, and collaboration, with coefficients of determination r=0.380 and r=0.318, respectively. The study highlights a notable impact of employee efficiency and engagement within the organisation, which indicates that well-designed human resource policies positively influence employee efficiency, leading to improved overall performance. This suggests that a strong and positive organizational culture coupled with effective teamwork and collaboration fosters higher levels of employee productivity and performance. Based on these findings, given the significant effect of employee efficiency and engagement on overall performance, organisations should focus on strengthening their employee engagement initiatives. This can be achieved by fostering a positive work culture that encourages open communication, the recognition of achievements, and opportunities for professional growth.

Revalidation of the impact of growth in Money Supply on Inflation in Nigeria

2024-09-04T00:03:10+01:00

This study examines the impact of money supply on inflation in Nigeria, using quarterly data series from 1980 – 2023. The Johansen cointegration approach, Autoregressive Distributed Lag (ARDL), and Granger causality test are used to identify the long-run relationship, the short-run dynamic, transmission lag, and causal relationship among the variables respectively. The variables considered are inflation, broad money supply, and real GDP. The regression results suggest that money supply has a significant impact on inflation in the short and long run. However, money supply has a higher impact in the long run compared with the short run. The result remained consistent with the classical Quantity theory of money and the monetarist hypothesis on inflation. Furthermore, the study confirmed that in the long run, the money supply growth significantly and positively impacts inflation. Moreover, the causality test result reveals that money supply growth has a unidirectional causal relationship with inflation, and the causal relationship runs from money supply growth to inflation. By implication, the monetary authority can manage the money supply to affect the level of the level of general prices (inflation).

External Debt and Economic Growth in Nigeria

2024-09-02T13:15:59+01:00

Over the past few years, Nigeria has experienced a rapid increase in external debt, leading to widespread public concern about its potential effects on the country’s economic growth. This study employed an ex-post facto research design to examine the relationship between external debt and economic growth in Nigeria from 1983 to 2022. Data for the study were sourced from the World Bank Development Indicators (WDI) and analyzed using the Autoregressive Distributed Lag (ARDL) model. The findings indicated the existence of a long-run relationship among the variables. The long-run estimates of the variables employed in the study—external debt stock (EDS), debt service on external debt (DSED), inflation rate (INF), and exchange rate (EXR)—on economic growth were as follows: β = 0.0753, t = 0.8102, p > 0.05; β = -0.0935, t = -1.7669, p > 0.05; β = -0.0281, t = -9.0746, p < 0.05; β = 0.1209, t = 4.6602, p < 0.05, respectively. The study concluded that external debt has no significant effect on economic growth in Nigeria. It recommended that policymakers should ensure loans are properly monitored and eliminate leakages in the system. Additionally, loans should undergo a comprehensive cost-benefit analysis to ensure that the benefits of the investments exceed the costs associated with debt servicing.

Agricultural Financing and Agricultural Output in Nigeria

2024-05-31T12:46:49+01:00

This study examined agricultural financing and agricultural output in Nigeria, focusing on the moderating effect of interest rates from 1978 to 2020. Using vector error correction model estimation, the results indicated that an increase in agricultural bank credit generally leads to an increase in agricultural output. This suggests that a rise in bank credit to agriculture will enhance productivity in the agricultural sector. To ascertain the effect of interest rates on agricultural bank credit and output, interest rates were interacted with bank credit to agriculture. It was observed that considering interest rates in relation to bank credit contributed 15.1% less to agricultural performance growth compared to non-consideration of interest rates. This indicates that agro-economic activities are significantly influenced by both interest rates and bank credit. Furthermore, the study found that bank credit to agriculture, when considered with interest rates, caused changes in agricultural output. This implies that monetary policies favoring bank credit to agriculture will boost agro-productivity in Nigeria. Among the policy recommendations, the CBN should adopt monetary policies and schemes, particularly those related to interest rates, that favor the supply of bank credit to agriculture. This approach will translate to more meaningful growth in agricultural performance.