International Research Journal of Finance and Economics

ISSN 1450-2887 Issue 25 (2009)

© EuroJournals Publishing, Inc. 2009
http://www.eurojournals.com/finance.htm

An Impact Analysis of Real Gross Domestic Product

Inflation and Interest Rates on Stock Prices of
Quoted Companies in Nigeria

Daferighe. Emmanuel E
Lecturer, Department of Accounting, Faculty of Management Sciences
Olabisi Onabanjo University, Ago-Iwoye, Ogun State, Nigeria
E-mail: daferighe2e@yahoo.com
Tel: +234-805-5218-253

Aje. Samuel O
Lecturer, Department of Accounting, Faculty of Management Sciences
Olabisi Onabanjo University, Ago-Iwoye, Ogun State, Nigeria
Tel: +234-803-7173-900

Abstract

Market reacts differently to various factors ranging from economic political, and
socio-cultural. The stock prices of quoted companies in Nigeria are affected either
positivity or negatively by a number of factors occurring within or without the economic
system. The paper examines the impact of Real Gross Domestic Product (RGDP), Interest
Rate (INT) and Inflation Rate (INF) on stock prices of quoted companies in Nigeria from
1997 – 2006. Stock prices were represented by Stock Market Value Index in the model,
which is SMVI = α0 + α1 INT + α2 INF + α3 RGDP + u. A regression analysis showed that
the explanatory variables accounted for 95.6% of the variation in stock prices. While a
reduction in interest and inflation rate resulted in increased stock prices, increased RDGP
has a positive impact. Government should therefore implement policies that will reduce
inflation rate and improve the standard of living of its citizens. Interest rate should be made
moderate so as to encourage investment and transactions in stock.

Keywords: Stock prices, Real Gross Domestic Product, Interest rate, Inflation rate,
Market information.

Introduction
No economic activity operates in a vacuum. Market reacts promptly and uncharacteristically to
rumours of war, changes in regulatory environment; political climate seen as a negative factor by the
business (investing) community; and interest rate variation to general performance of the economy.
It is a common trend for stock prices of some quoted companies to rise and fall or fall and rise
twice or thrice within a year. The stock prices of quoted companies on the Nigerian Stock Exchange
(NSE) are affected either positively or negatively by a number of factors occurring within and without
the economic system. According to Corrado and Jordan (2002), some of the factors influencing stock
International Research Journal of Finance and Economics - Issue 25 (2009) 54

price behaviour include company profits; political factors; and economic performance. Others are
interest rates; inflationary rate; Real Gross Domestic Product; and shareholder-level taxes.
Investment in stock market is long-term in nature; any development that could affect the
stability of the polity or economy usually has serious impact on the stock prices. In recent times, the
NSE has consistently lost points and the prices of stocks have experienced sharp decline. The
downward trend in the market performance was attributed to varying reasons in line with those stated
by Corrado, et al (2002)
However, Onagoruwa (2006) was of the view that stocks with history of good performance and
fundamental attributes are good to buy at times like this when their prices are down and more
affordable because they are most likely to bounce back since they have the capacity to absorb the
depression in the market.
The injection of new funds through public offer could turn around the fortune of the market
because of the expected liquidity. Hence, it is important for investors to get an understanding of the
working of stock prices of quoted companies.
According to the Central Bank of Nigeria (CBN) Governor, Professor Charles Soludo, investors
should not panic at the present downward trends in the market arena. Of interest to them should be
interest rates, inflation rates, liquidity, and the growth of their investment
In well-developed capital markets, share ownership provides individuals with relatively liquid
means of diversifying investment risk. Stock prices, however have a high degree of volatility due to
market fluctuations especially when pressure is being exerted to keep the controlled interest rate closer
to market prices, which are more likely to reflect inflation and scarcity of funds.
The effect of inflation on stock prices are reflected especially where there is a change in the
expected inflation rate. If the earning streams of a company remain unchanged and inflation changes
from expected, stock prices will experience a decline. Hence, investors who own stock in such a
company will experience negative returns.
The Real Gross Domestic Product (RGDP) which is the sum of the value added in the economy
during a given period or the sum of incomes in the economy during a given period adjusted for the
effect of increasing prices will impact on the liquidity of the capital market; hence its influence on
stock prices.
This paper intends to assess the impact of real GDP, inflation and interest rates on stock prices
of quoted companies. It is aimed at examining the relationship between real GDP, inflation and interest
rates, and stock prices with a view to determining whether the fluctuations in the behaviour of stock
prices is influenced by those variables and analyse the impacts arising thereby. It is a ten-year
longititudinal study covering the periods 1997 – 2006

Model Specification
Y = α0 + α1X1 + α2X2 + α3X3 + … + u
Where:
Y = dependent or unexplained variable
α0 = constant of the model
α1, α2, α3 = coefficient of the model
X1, X2, X3 = Independent explanatory variables.
u = stochastic variable or error term.
SMVI= α0 + α1 INT + α2 INF + α3 RGDP + α4 PROF + α5 TAX + u
Where:
SMVI = Stock Market Value Index
INT = Interest Rate
INF = Inflation Rate
RGDP = Real Gross Domestic Product
PROF = Corporate profit
55 International Research Journal of Finance and Economics - Issue 25 (2009)

TAX = Tax rate

Note: SMVI is the average of the prices of equities and the number of securities. The variables
PROF and TAX are held constant as they are outside the scope of this work.
The basic assumptions for this work are:
Null hypothesis (H0): Inflation rate, interest rate and Real Gross Domestic Product do not have a
significant influence on stock price behaviour of quoted companies in the Nigerian capital market
Alternative hypothesis (H1): Inflation rate, interest rate and Real Gross Domestic Product have
significant influence on stock price behaviour of quoted companies in the Nigerian capital market.
The student t-test will be used to test the hypothesis in order to ascertain the significance of the
parameters at 5% level of significance.
The a priori expectation is that lower interest rate will result in high liquidity and ultimately
increase stock prices Blanchard(1997); while inflation rate has a negative long-run effect on stock
prices which implies that higher stock prices are associated with lower inflation and vice
versa(Tamtom, 2002). Also, high RGDP will result in high liquidity and increased stock prices
(Blanchard, 1997).
δSMVI
>0
δINT

δSMVI
>0
δINF

δSMVI
<0
δRGDP

Literature Review and Theoretical Framework

Stock market exhibits daily, weekly, monthly, quarterly and annually behaviour and also respond to
internal and external development. Though these market behaviours and trends can be monitored and
analysed through the major market averages and indices; which include market capitalization index and
the various indices of fund managers. There are three approaches for predicting share price behaviour.
These are the Fundamental Theory, the Technical/Chartist Theory and the Random-walk Theory.

The Fundamental Theory

This theory argues that at any point in time; an individual security has an intrinsic or true value, which
is the present value of the future receipts, accruing to the security holder. This view is essentially the
same as the basic valuation model. It is based on the assumption that the analyst needs to consider the
major factor affecting the economy, the industry and the company.
To make an appropriate investment decision, the environment within the company and its
reaction to that environment in terms of investment and financing policies determines the future net
receipts. It is also affected by the state of national economy, government economic policies such as the
control of inflation, the balance of payments, government budgetary and interest rate policies. The
effect of each of these factors is largely dependent on the nature of the company’s activities.
The fundamentalists forecast stock prices on the basis of market information about the
economy, industry and the company. As it is usually the case, when the market anticipates an event,
such as the national budgets, fiscal policies or exchange rate policies; the share prices are affected.
It may be argued that market price approaches ‘intrinsic’ or ‘true’ value ‘asymptotically’, that
is, it gets nearer and nearer but never quite gets there. During this time, new information may alter the
International Research Journal of Finance and Economics - Issue 25 (2009) 56

intrinsic value so that market prices will have to start chasing a new intrinsic value such that to
calculate the intrinsic value is to predict the market price.
If fundamental analysis is used as a guide to investment decision, the buy and sell decision will
be based on the discrepancy between intrinsic and market prices; if the intrinsic is greater than the
market, the investor should buy, and sell if the market price is greater than intrinsic price. The amount
of discrepancy and speed with the market approaches an intrinsic value may be regarded as indications
of the degree of perfection in the market.

Technical/Chartist Theory
This approach is based on the view that future patterns of share prices are repetitions of the same
patterns of price movement which had occurred in the past; that is, historical price patterns are repeated
in the future (Akinsulire, 2006). According to Corrado et al (2002), technical analyst makes attempt to
predict the direction of future stock price movement based on historical price and volume behaviour;
and investment sentiment.
Bodie, Kane and Marcus (1999), supported this view that it is essentially the search for
recurrent and predictable patterns in stock prices. Although technicians recognised the value of
information regarding future economic prospects of the firm, they believed that such information is not
necessary for a successful trading strategy.
This is because whatever the fundamental reason for a change in stock prices, if the price
responds slowly enough; the analyst will be able to identify a trend that can be exploited during the
adjustment period. The key to successful technical analysis is a sluggish response of stock prices to
fundamental supply and demand factors.
Technical analysts also called chartists study records or charts of past stock prices to find
patterns to exploit to make profit using Dow Theory, which is a method of analyzing and interpreting
stock market movement which dates back to the turn of the century. Share prices/values can be
measured using primary, secondary and tertiary trends.
Though, there is no real theoretical justification for this approach, it can at times be
spectacularly successful. Studies outside Nigeria have suggested that the degree of success is greater
than could be expected merely from chance (Mayo, 2000). Nevertheless, not even the most extreme
chartist would claim that every major price movement can be predicted accurately and sufficiently
enough to make the correct investment decision.
Many critics of charting suggested that it is unscientific as to be of no practical value, because
there is no theoretical justification of this theory except its pointing to empirical evidence of its
correctness (Akinsulire, 2006).

Random-Walk Theory
A third theory of stock behaviour is the random walk theory which emerged as an attempt to disprove
chartist theory. The theory states that a new market price of a share will stem solely from the reaction
of investors to new, relevant information about the share and will be totally independent of the old
market price.
The random walk theory is of the view that the intrinsic value of stock price will be altered as
new information become available and the behaviour of investors is such that actual stock prices will
fluctuate at random from day to day around the intrinsic value. Because of random erratic movement in
stock prices, an investor cannot safely rely on prediction of such movement for deciding when to trade
in securities (Olowe, 1997).
A random walk means that price changes are unpredictable, so using technical analysis to
predict stock price is useless. The relevant test of efficiency in this model is whether prices incorporate
all information that is available at the time. In its pure form, the Efficient Market Hypothesis (EMH)
states that information efficient financial markets reflect all new relevant information fully. The three
levels of efficiency are; the weak form, semi-strong form and strong form
Mayo (2000) criticized the random walk theory on two grounds. That:
57 International Research Journal of Finance and Economics - Issue 25 (2009)

(i) It is reasonable to expect that over a period of time, stock prices will rise to generate a
.positive return unless the return is entirely the result of dividend.
(ii) Stock prices are not randomly determined but it is change in security prices that are
randomly determined, security prices are rationally and efficiently determined by earnings,
interest rate, dividend policy e.t.c.

Inflation and its Effect on Stock Prices

Asogu(1991) was of the view that inflation is generally used to distribute a situation of rapid,
persistent and unacceptable high rises in general price level in an economy, resulting in general loss of
purchasing power of the currency. According to him, inflation causes serious discomfort for
consumers, investors, producers and the government.
In a study of some countries, Maynard and Van Ryckeghem (1975) as cited in Masha (2003),
found that the long-run trend of rising price levels can be attributed to differences in the rates of growth
and productivity in the industrial and service sectors. Other causes of rising prices are differences in the
prices and elasticity between the two sectors, uniform growth nominal wages in both sectors, and price
and wage rigidities
Some attempts have been made to study the character of inflation in Nigeria. Asogu (1991)
undertook an empirical investigation based on ten different specifications that covered monetary,
structural and open economy aspects of inflation. The variables used include money supply and its
lagged values, Real Gross Domestic Product (RGDP) and its lagged values, aggregate domestic credit
to the economy and its lagged values, government expenditure and its lagged values. Others are
industrial production index, import price index and official exchange rate in all, the models were
estimated and the character of inflation seems to be well captured.
In summary, the results of the estimations suggested that real output, especially industrial
output, net exports, current money supply, domestic food prices and exchange rate changes were the
major determinants of inflation in Nigeria. The study, therefore, confirms the importance of structural
character of the economy; open economy and monetary aspects of inflationary trend in Nigeria.
In another study of inflation in Nigeria, Masha (2000) quoted Fakiyesi (1996), who argued that
inflation is dependent on growth in broad money, the rate of exchange of the Naira vis-à-vis the dollar,
the growth of real income, the level of anticipated inflation, which is based on the previous year’s level
of inflation.
Causes of inflation can however be broadly categorized into the ‘fiscal’ and ‘balance of
payment’ views. Proponents of the fiscal view have argued that continuous expansion of base money
essentially arises from a fiscal disequilibrium. Attempts have been made to show that the economy will
be characterized by two inflation equilibria if there is an exogenous real fiscal deficit; a change in
Cagan semi-logarithmic money demand function and rational expectations. The high inflation
equilibrium will be stable and the low inflation equilibrium unstable (Montel, 1989) as cited in
(Afolabi and Efunwoye, 1995).
It is a common belief that inflation is advantageous to common stock. This is majorly because it
is argued that inflation increases the returns to shareholders since price of products rise faster than
wage rates. The expected relationship between inflation and returns to owners of equity would be valid
if business firms were debtors and if the current interest rates on debt finance failed to reflect the future
changes in the price level.
According to Jhingan (1997), when there is inflation, most prices are rising, though some price
rise faster than others. Kirkpatrick and Nixon (1986) as cited in Afolabi et al (1995), have shown from
their studies that there is a relationship between inflation and rising prices. Asogu (1991) states that
inflation rate is expected to vary ceteris paribus, positively in relation to changes in prices
Therefore, in assessing the impact of inflation on performance of stock prices of quoted
companies; if there is a relationship, one should expect a positive association between inflation and the
variation in stock prices.
International Research Journal of Finance and Economics - Issue 25 (2009) 58

Kolari (2001) using stock price and goods price data from six industrial countries showed that
long-run Fisher elasticity of stock prices with respect to goods prices exceeds unity and range from
1.04 to 1.65 which supported the Fisher effect that inflation has a negative short-run effect on stock
returns but turns positive over longer horizons.
However, Tamtom (2002) asserted that a negative long-run relationship exist between stock
prices and inflation; in turn implying that higher stock prices are associated with lower inflation
contrary to recent proposals.

Interest Rate and its Effect on Stock Prices

Interest rate structure in Nigeria has overtime been controlled and managed by Central Bank of Nigeria
(CBN). Every year, the CBN fixes the range within which both the deposit and lending rates are to be
maintained.
According to Jhingan (1997), interest rate can be classified into various categories; Deposit
rates, Lending rates, Treasury bill rate, Inter-Bank rate and Minimum Rediscount rate.
Oresotu(1992) explains that the basic functions of interest rates in an economy in which
individual economic agents take decisions as to whether they should borrow, invest, save and/or
consume, are summarized by International Monetary Fund (IMF) under three aspects; namely
• interest rates as return on financial assets serve as incentive to savers, making them defer
present consumption to a future date
• interest rates being a component of cost of capital affect the demand for and allocation of
loanable funds; and
• the domestic interest rate in conjunction with the rate of return on foreign financial assets
and goods are hedged against inflation.
These broad roles of interest rates according to Oresotu (1992) emphasize their significance in
the structure of basic prices and indicate the need for study about their determinants under a flexible
regime.
During the periods of rapidly changing prices, the interest rate may be a poor index of the
return due to an investor. Too expensive interest rate may choke off investment; Ogiogio (1988),Alile
(1992) explain that interest rate in Nigeria would significantly influence the holding of financial assets
by investors.
Arising from the above, if there is a relationship, one should expect a negative association
between interest rates and changes in the level of stock prices.

Real Gross Domestic Product (RGDP) and Stock Prices

The measure of aggregate output in the national income accounts is Gross Domestic Product (GDP)
according to Blanchard (1997). He stated that there are three ways of thinking about an economy’s
GDP. These are that:
• GDP is the value of the final goods and services produced in the economy during a given
period
• GDP is the sum of value added in the economy during a given period ,
• GDP is the sum of incomes in the economy during a given period.
Nominal GDP is simply the sum of the quantities of final goods produced times their current
price. Economists use nominal for variables expressed in units of the currency of the relevant country.
Nominal GDP increases over time for two reasons. The first is that the production of most
goods increases over time. The second is that the naira price of most goods increases over time. In
order to measure production and its change over time, the effect of increasing prices need to be
eliminated. Hence, focus is on real GDP rather than nominal.
Carstrom (2002) expressed that stock prices and future RGDP growth are related. He gave two
prominent explanations for this; the first explanation was that changes in information about the future
course of RGDP cause prices to change in the stock market today.
59 International Research Journal of Finance and Economics - Issue 25 (2009)

He also said that changes in stock prices, no matter what the source is, will reduce firms’ asset
positions and affect the cost of their borrowing. When it costs more for firms to borrow money, they
borrow and invest less, RGDP growth slows.
Changes in information about the future course of RGDP may cause prices to change in the
stock market. This explanation suggests that while stock prices are used to predict future economic
activity, the actual causality is from future GDP growth to current stock prices.

Data Presentation and Result of Analysis

Table 1: Stock Market Value Index, Interest Rate, Inflation Rate and Real Gross Domestic Product

Real Gross Domestic Product

Years Market Value Index Interest (%) Inflation Rate (%)
(RGDP) N 000,000
1997 6472.10 23.32 8.5 377.8308
1998 5889.90 21.34 10.0 388.4681
1999 5397.90 27.19 6.6 393.1072
2000 8111.0 21.55 6.9 412.3220
2001 10963.0 21.34 18.9 431.7832
2002 11740.8 21.70 12.9 451.7856
2003 21222.8 22.47 14.0 495.0071
2004 23844.5 20.62 15.0 527.5760
2005 24085.8 20.04 17.9 561.93140
2006 33189.3 18.70 8.2 595.82161
Source: CBN Statistical Bulletin, 2006.

Model:
SMVI = α0 + α1 INT + α2 INF + α3 RGDP + u

Table 2: Summary of Regression Result

Variables Coefficient t-statistic

Constant -38294.23 -2.789
Inflation Rate -118.532 -0.283
Interest Rate -137.085 -0.823
RGDP 124.262 10.182

Adjusted R2 = 0.956, tcal = 2.789, ttab = 1.83

F(6, 3) = 66.514, Ftab = 8.94, D.W = 2.468
5% level of significance.
The result of automated data analysis (SPSS) reveals that real Gross Domestic Product
(RGDP), Interest and inflation rates can be held responsible for 95.6% variation on stock prices of
quoted companies with reference to 1997 – 2006.
The F-statistic (ANOVA) of the model indicates that the model has closeness of fit which
means that the model is statistically significant at 5% level of significance. The F(6,3) = 66.514 is
greater than the Ftab = 8.94, therefore, with respect to theoretical expectation, the coefficient of interest
rate, inflation rate and real GDP are correctly signed. The estimated parameters are statistically
significant at 5% level of significance.
The autocorrelation between the variables under consideration is indicated by Durbin-Watson
value of 2.468, which further confirms that the estimates are statistically significant.
To test for the significance of the estimates, the student’s t-test is employed. The tcal = 2.789 >
ttab = 1.83 for all parameters estimates, this means that the null hypothesis that inflation rate, interest
rate and Real Gross Domestic Product do not have significant influence on stock price behaviour of
International Research Journal of Finance and Economics - Issue 25 (2009) 60

quoted companies in the Nigerian capital market (1997 – 2006) is rejected, while the alternative
hypothesis is accepted.
Though, the standard error of the estimate (2036.6408) is high. A preliminary analysis of the
correlation matrix particularly among the explanatory variables showed that the highest simple
correlation coefficient among the explanatory variables is 0.685. This is less than a critical value of 0.8
suggested by Hauser (1974) above which multicollinearity may constitute a serious problem affecting
the regression analysis.
The estimated regression model is
SMVI = -38294.23 – 118.532 INT – 137.0851 INF + 124.262 RGDP
The economic implication is that a reduction in interest rate and inflation rate resulted in
increased stock prices of quoted companies in the Nigerian Capital Market which shows negative
impacts in line with the a priori expectation.
On the other hand, there is a positive impact by RGDP on stock prices; that is an increase in
RGDP resulted in increased stock prices in conformity with the a priori expectation.
The adjusted R2 coefficient (0.956) which is the coefficient of determination indicates that the
explanatory variables accounted for 95.6% of the variation in the influence of interest rate, inflation
rate and RGDP on stock prices of quoted companies in Nigeria for the period under study.

Summary and Conclusions

This paper attempts to determine the impact of RGDP, interest and inflation rates on stock prices of
quoted companies in Nigeria. The findings were in line with a priori expectation expressed by
Blanchard (1997) and Tamtom (2002).
An important finding is that the explanatory variables in the model result in 95.6% influence on
the stock prices of quoted companies in Nigeria for the period 1997 – 2006.
The paper also provides preliminary evidence regarding the relative importance of the
explanatory variables on stock prices of quoted companies in Nigeria. Specifically, the findings
suggest that RDGP was the most important variable influencing stock prices in Nigeria.
Conclusively, government should implement policies that will reduce inflation rate and poverty
level through infrastructural development and improved standard of living. Also, interest rates should
be made moderate in order to encourage investment and transactions in stocks in the Nigerian Capital
Market.
61 International Research Journal of Finance and Economics - Issue 25 (2009)

References
[1] Afolabi, J. A. and Efunwoye, B. (1995). “Causes of High Inflation in Nigeria.” Nigeria Deposit
Insurance Corporation (NDIC) Quarterly, Vol.5, No.4, pp.14-20.
[2] Akinsulire, O. (2006). Financial Management, 4th ed., Lagos, Zinol Nigeria Limited.
[3] Alile, H. I. (1992). “Establishing a Stock Market – Nigerian Experience,” Paper presented at
the conference on Promoting and Developing Capital Markets in Africa, Abuja (November 11-
13).
[4] Asogu, J. O. (1991). “An Econometric Analysis of the Nature and Causes of inflation in
Nigeria.” Central Bank of Nigeria (CBN) Economic and Financial Review, Vol. 29, No.3.
pp.12-39.
[5] Blanchard, O. (1997). Macroeconomics, New Jersey, Prentice-Hall Inc.
[6] Bodie, Z., Kane, A. and Marcus, J. A. (1999). Investment, 4th ed., USA, McGraw Hill
Companies Inc.
[7] Carstrom, C. T. (2002). “Stock Prices and Output Growth: An Examination of the credit
channel.” Retrieved from www.moneybiz.co.za on 5/27/2008.
[8] Central Bank of Nigeria (CBN) (2006). Statistical Bulletin.
[9] Corrado, C. J. and Jordan, B. D (2002). The Fundamentals of Investments Valuation and
Management. 2nd ed. USA, McGraw-Hill Companies Inc.
[10] Hauser, D. P. (1974). “Some Problems in the use of Stepwise Regression Techniques in
Geographical Research.” Canadian Geographer, No.17 (Summer) pp.148-158.
[11] Jhingan, M. L. (1999). Macroeconomic Theory. 10th Revised and Enlarged ed., India, Stosius
Inc.
[12] Kolari, J. (2001). “Stock Prices and Inflation.” Journal of Financial Research.
[13] Masha, I. (2000). “New Perspective on inflation in Nigeria.” Central Bank of Nigeria (CBN),
Economic and Financial Review, Vol. 38, No. 2. pp.34-42.
[14] Mayo. H. B. (2000). Investment: An Introduction, 6th ed., USA, Harcourt Inc.
[15] Ogiogio, G. O. (1988). “Behaviour of Interest Rate Differential: An Evidence of Significant
Response to Monetary Policy.” Nigerian Journal of Economic and Social Studies, Vol.30,
No.1, pp.59-66.
[16] Olowe, R. A. (1997). Financial Management: Concepts, Analysis and Capital Investment,
Lagos, Briefly Jones Nigeria Limited.
[17] Onagoruwa, O. (2006). “Analysis Propose Antidotes to Down Trend in the Market” Stock
Watch, Vol. 1, No. 4, pp.3-8.
[18] Oresotu, F. O. (1992). “Interest Rates Behaviour under a programme of Financing Reform: The
Nigerian case” Central Bank of Nigeria (CBN) Economic and Financial Review, Vol.30, No.2,
pp.109-118.
[19] Tamtom, J. A. (2002). “Stock Prices, Inflation and Monetary Policy, Business Economics,
Retrieved from www.thenigerianstock-exchange.com on 5/27/2008.
International Research Journal of Finance and Economics - Issue 25 (2009) 62

Appendix
01/01/0204:06:11
Untitled
Year ir Inflrate gdp smv
1 1997.00 23.32 8.50 377.83 6472.10
2 1998.00 21.34 10.00 388.47 5889.90
3 1999.00 27.19 6.60 393.11 5397.90
4 2000.00 21.55 6.90 412.32 8111.00
5 2001.00 21.34 18.90 431.78 10963.00
6 2002.00 21.70 12.90 451.78 11740.80
7 2003.00 22.47 14.00 495.01 21222.80
8 2004.00 20.62 15.00 527.58 23844.50
9 2005.00 20.04 17.90 561.93 24085.80
10 2006.00 18.70 8.20 595.82 33189.30

Regression
Descriptive Statistics
Mean Std. Deviation N
SMV 15091.710 9732.9002 10
IR 21.8270 2.2706 10
INFLRATE 11.8900 4.4965 10
GDP 463.5631 77.4473 10

Correlations
SMV IR Inflrate GDP
Pearson Correlation SMV 1.000 -.680 .325 .984
IR -.680 1.000 -.395 -.685
INFLRATE .325 -.395 1.000 .381
GDP .984 -.685 .381 1.000
Sig. (1-tailed) SMV .015 .180 .000
IR .015 .129 .014
INFLRATE .180 .129 .139
GDP .000 .014 .139
N SMV 10 10 10 10
IR 10 10 10 10
INFLRATE 10 10 10 10
GDP 10 10 10 10

Variables Entered/Removedb
Model Variables Entered Variables Removed Method
1 GDP,
INfLRATE, Enter
IR
a) All requested variables entered.
b) Dependent Variable: SMV

Model Summaryb
Std. Error of the
Model R R Square Adjusted R Square Durbin-Watson
Estimate
1 . 985a .971 .956 2036.6408 2.468
a) Predictors: (Constant), GDP, INFLRATE, IR
b) Dependent Variable: SMV
63 International Research Journal of Finance and Economics - Issue 25 (2009)

Model Sum of Squares df Mean Square F Sig.

1 Regression 8.28E+08 3 275892224.6 66.514 .oooa
Residual 24887435 6 4147905.761
Total 8.53E+08 9
a) Predictors: (Constant), GDP, INFLRATE, IR
b) Dependent Variable: SMV

Coefficientsa
Unstandardized Standardized
Collinearit Statistics
Coefficients Coefficients
Model B Std. Error Beta t Sig. Tolerance VIF
1 (Constant) -38294.23 13730.092 -2.789 .032
IR -118.532 418.840 -.028 -.283 .787 .510 1.962
INFLRATE -137.085 166.619 -.063 -.823 .442 .821 1.218
GDP 124.262 12.204 .989 10.182 .000 .516 1.938
a. Dependent Variable: SMV

Collinearity Diagnosticsa
Condition Variance Proportions
Model Dimension Eigenvalue
Index (Constant) IR Inflrate GDP
1 1 3.885 1.000 .00 .00 .01 .00
2 8. 983E-02 6.577 .00 .01 .73 .00
3 2.332E-02 12.907 .00 .06 .23 .36
4 1.442E-03 51.907 1.00 .93 .03 .64
a. Dependent Variable: SMV

Residuals Statisticsa
Minimum Maximum Mean Std. Deviation N
Predicted Value 4726.2314 32402.865 15091.710 9589.7901 10
Residual -2617.253 2589.2693 3.183E-12 1662.9103 10
Std. Predicted Value -1.081 1.805 .000 1.000 10
Std. Residual -1.285 1.271 .000 .816 10
a. Dependent Variable: SMV