Reaction of stock market returns to COVID-19 pandemic and lockdown policy: evidence from Nigerian firms stock returns

Raifu, Isiaka Akande; Kumeka, Terver Theophilus; Aminu, Alarudeen

doi:10.1186/s43093-021-00080-x

Future Business Journal

Table 8 Forecast error variance decomposition results

From: Reaction of stock market returns to COVID-19 pandemic and lockdown policy: evidence from Nigerian firms stock returns

Response variable	Forecast horizon	Impulse variable
Response variable	Forecast horizon	Exchange rate	Total cases	Stock market returns
Model one
Exchange rate	1	1.0000	0.0000	0.0000
	2	0.9904	0.0012	0.0084
	5	0.9895	0.0012	0.0093
	10	0.9895	0.0012	0.0093
Total cases (Nigeria)	1	0.0108	0.9892	0.0000
	2	0.0138	0.9862	2.47e-06
	5	0.0142	0.9857	0.0001
	10	0.0143	0.9857	0.0001
Stock market returns	1	3.48e-06	0.0002	0.9998
	2	0.0014	0.0227	0.9759
	5	0.0016	0.0239	0.9745
	10	0.0016	0.0239	0.9745
Model two
Exchange rate	1	1.0000	0.0000	0.0000
	2	0.9954	0.0037	0.0009
	5	0.9903	0.0044	0.0053
	10	0.9850	0.0051	0.0099
Total Deaths (Nigeria)	1	0.0127	0.9873	0.0000
	2	0.0338	0.6887	0.2775
	5	0.0266	0.4664	0.5070
	10	0.0182	0.3613	0.6205
Stock market returns	1	0.0001	0.1347	0.8652
	2	0.0002	0.1358	0.8640
	5	0.0002	0.1365	0.8633
	10	0.0002	0.1367	0.8631
Model three
Exchange rate	1	1.0000	0.0000	0.0000
	2	0.9919	0.0019	0.0062
	5	0.9906	0.0020	0.0074
	10	0.9906	0.0020	0.0074
Total cases (world)	1	0.0029	0.9971	0.0000
	2	0.1330	0.8625	0.0046
	5	0.1291	0.8610	0.0099
	10	0.1297	0.8604	0.0100
Stock market returns	1	0.00001	0.0125	0.9875
	2	0.0042	0.0233	0.9725
	5	0.0047	0.0289	0.9663
	10	0.0048	0.0292	0.9660
Model four
Exchange rate	1	1.0000	0.0000	0.0000
	2	0.9909	0.0025	0.0066
	5	0.9894	0.0027	0.0079
	10	0.9892	0.0028	0.0080
Total Deaths (World)	1	0.0086	0.9914	0.0000
	2	0.1073	0.8790	0.0137
	5	0.1037	0.8723	0.0240
	10	0.1048	0.8706	0.0246
Stock market returns	1	0.00005	0.0154	0.9845
	2	0.0046	0.0267	0.9687
	5	0.0056	0.0359	0.9585
	10	0.0058	0.0370	0.9573
Model five
Exchange rate	1	1.0000	0.0000	0.0000
	2	0.9965	0.0003	0.0032
	5	0.9956	0.0003	0.0040
	10	0.9956	0.0003	0.0041
Stringency index	1	0.0036	0.9964	0.0002
	2	0.0125	0.9872	0.0003
	5	0.0157	0.9840	0.0003
	10	0.0158	0.9839	0.0003
Stock market returns	1	0.0014	0.0002	0.9984
	2	0.0094	0.0003	0.9903
	5	0.0122	0.0003	0.9876
	10	0.0122	0.0003	0.9875

Computed by the authors

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