Abstract

The question of whether or not stock prices can be predicted by macroeconomic indicators in an/ economy is of serious concern both to the academics as well as the practitioners all over the world. \ if° There have been controversies among scholars, 1'/!Searchers and finance professionals with ~ regards to what triggers the movement in the stock prices and ii is against this backdrop, that this A 7 specific objectives namely 5 ; to dete 1 rmine t 5 he imp 1 act of R 2 eal Gros 2 s Domestic Produ 5 ct (RGDP) on 3 ~~ All Share Index of the Nigerian Stock Market, to determine the impact of lending Interest e ,68 (LINTR) on All Share Index of the Nigerian Stock Exchange, to determine the impact of Exchange ~~- Rate (EXCR) on All Share Index of the Nigerian Srock Exchange Market, to determine the impact X"' •. of inflation (INF) on All Share Index of the Nigerian Stock Exchange Markel, and to determine the impact of Money Supply (LM2) on the All Share index of the Nigerian Stock Exchange Market. The specified model was estimated using the Autoregressive Distributive lag Model to determine the level of impact that one variable has on the oifier as well as the relationship among them. While £-views JO statistical software was employed in computing the result. time series data were obtainedfrom the CJJN Bulletin/or 2018, Nigeria Bureau of Statistics, Knoema and World Bank Statistical Publications and based on the period under review. the study establishes that based on the short run coefficients, ASI was found lo be negative for the current year and one year lag period while INF was equally negative and is insignificant for the current year and the previous year. while in the long run. Inflation Rate showed a positive relationship with ASI, but insignificant 5% level of significance. On the other hand, the long nm estimates of M2 had a positive relationship with AS/ in the long run and also shows to be a significant contributor to All Share Index al 5% level of significance while RGDP had a negative relationship with All Share Index and also significant in the long run. Furthermore, EXCR was found to be negative for the current year, also in the previous year and lag 2 period while in the long run, EXCR had a positive relationship with AS! while RINTR was positively and significantly impacting AS! in the current year even though it negatively impacted on AS! in the previous year's i.e. lag one and lag 2 and finally, Real Lending Rate was found to have a positive relationship with All Share Index in the s long run but statistically insignificant at 5% level of significance and based on this findings, they study recommended the following;