Testing the nexus between stock market returns and inflation in Nigeria: Does the effect of COVID-19 pandemic matter?

摘要: Given the palpable fear generated by threat of COVID-19 pandemic and bearish sentiments stock investors, this study represents one first efforts towards testing effect on market returns-inflation relationship. Specifically, investigates nexus controlling for in Nigeria from February 27, 2020 to April 30, 2020. Using estimation procedures based generalized autoregressive conditional heteroskedasticity type models (GARCH (1,1), GJR-GARCH), accounting innovation tests, our results show that increases volatility distorts positive relationship between inflation returns, which tends negate Fisher's hypothesis. In addition, reveal negative effects returns its disruption may not die away rapidly considering duration is unknown. Further, these findings are validated tests. Therefore, presents policymakers consequences urgent need strengthen through collaborative efforts.