A STATISTICAL ANALYSIS OF CAPITAL MARKET AND ECONOMIC GROWTH

A STATISTICAL ANALYSIS OF CAPITAL MARKET AND ECONOMIC GROWTH

ABSTRACT

The purpose of this research is to establish and test the existing relationship between the Nigerian GDP and the indicators of the Nigerian stock market. Stock market indicators are proxied by market capitalization and the All Share Price Index. The study makes use of annual data sets from 1985 to 2014. The relationship is investigated both broadly (using multiple linear regression analysis) and specifically (during the global financial crisis and not during the global financial crisis) using dummy regression analysis. A thorough examination of the data using multiple linear regression analysis revealed a strong significant multiple linear relationship between the response and predictor variables, with a coefficient of multiple determination, R2, of approximately 0.91. explains approximately 93% of the total variation in the response variable. The dummy regression analysis reveals an even stronger linear relationship between the predictor variables and the response variables, with R2 of around 0.93, explaining approximately 93% of the total variation in the response variable Y. The coefficient of the dummy variable is significantly different from zero, indicating that the variables should be analyzed based on the two economic periods. It also represents the average decrease in the response variables Y as a result of the global financial crisis based on Nigerian stock market indicators.