International records / OpenAlex research

The Dependence Structure Between Stock Market Returns and Short-Term Interest Rates in Nigeria (Copula Analysis)

The objective of the paper was to determine the dependence structure between stock market returns and short- term interest rates in Nigeria using a copula-based statistical model. Daily price data of the All-Share Index (ASI) from the Nigeria Stock Exchange and short-term interest rate, represented by the prime lending rate from March 1999 to December 2001 and the Monetary Policy Rate (MPR) from January 2002 to December 2022 from the Central Bank of Nigeria, were collected for the study. Student's t-copula was selected for the study as it considers the variables' non-linear dependencies and ta…