Pages: (23-48 )
Abstract
All share index is one of the macroeconomic indicators that analyze the economic situation of a nation. Fluctuations in the crude oil price will impact all share index regarding the level of investment in the stock market. Based on this, we examined the dynamic time-varying relationship between crude oil prices and all share index in Nigeria using an ex-post research design. Population utilized in the analysis comprised 972 monthly observations between 1980M01 and 2022M12 for Nigeria, taken from the World Bank Commodity Price data and CBN Statistical Bulletin. Wavelet analysis utilized at a 5% significance level includes Covariance, Correlation, the Continuous Wavelet Spectrum, Coherence, and Granger causality. Results revealed positive and negative associations between series over the periods. The Wavelet Correlation result implied that variation in crude oil price significantly led to variation in all share index in Nigeria. Therefore, we recommended that policymakers should promote alternative sources of energy and instigate measures aimed at appreciation of the Nigerian naira. This will make available more naira with value to boost the amount of capital available for investors to invest in the stock market.
Keywords: All Share Index, Covariance, Crude Oil Price, Continuous Wavelet Spectrum, Decomposition,