ABSTRACT

This research work was conducted to ascertain the effect of share price volatility on the economic growth of Nigeria. The research used series of test such as the unit root test that was used to test for stationarity, the co-integration test was used to check for the long run and short run relationship between the variables, and the error correction model that estimate the speed at which a dependent variable returns to equilibrium after a change in other variables. The augmented ADF test of stationarity shows that all the variables are not stationary at levels but are stationary at first difference at the 0.05 level of significance, The long run equation reveals that all the variables in the model met a priori expectation in the long run, The all share price index growth rate shows a direct relationship with economic growth in Nigeria but is statistically insignificant as shown by its high standard error. A unit increase in the all share price index would lead to a 0.41 units increase in the gross domestic product. The vector error correction model shows the short run relationship that exists among the variables in the model, the all share index also has a direct relationship with the gross domestic product in the short run. A unit increase in the all share index would lead to a 0.72 units increase in the gross domestic product but is also statistically insignificant. The study therefore recommends among other things that In order to make the stock market more stable and reduce the variances of its performance, the manpower and processes of the Securities and Exchange Commission (SEC) should be further strengthened. This should enable the organization improve on its oversight function of the capital market and engender improvement its performance.