BIG DATA AND EXCHANGE RATE EFFICIENCY IN NIGERIA: ANY ROLE FOR INVESTMENT SENTIMENTS?

T. O. Ayinde, F. A. Adeyemi
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Abstract

The efficiency of the exchange rate is a strong indicator to determine appropriate exchange rate returns. This study engages the use of big data to investigate exchange rate efficiency in Nigeria and further examine the role of investment sentiments. The study employs both the unit-root and variance ratio tests. Also, the granger causality test was employed to investigate the direction of causality. The data spanned 4,992 daily observations each for exchange rate and investment sentiments and cover the daily period 12/10/2001 – 5/13/2022. For further interrogation, quarterly and yearly data frequencies of these two variables were employed in order to explain the varieties of big data. With recourse to the effect of big data, results show that the exchange rate exhibits a random walk behaviour in Nigeria only for daily and quarterly data frequencies and not for the yearly data frequency. However, the causality test indicates that investors' speculations do not affect exchange rate dynamics in the country. As the exchange rate is found efficient in Nigeria, the monetary authority is enjoined to promote real-time information about the exchange rate to deflect undue speculations by investors. This study implies that the monetary authority in Nigeria should model exchange rate efficiency around its intrinsic data-generating process.
尼日利亚的大数据和汇率效率:投资情绪有何作用?
汇率效率是确定适当汇率收益的有力指标。本研究使用大数据来调查尼日利亚的汇率效率,并进一步研究投资情绪的作用。本研究采用单位根检验和方差比检验。并采用格兰杰因果检验检验因果关系的方向。这些数据涵盖了4,992次每日汇率和投资情绪观察,涵盖了2001年10月12日至2022年5月13日的每日观察。为了进一步探究,我们使用了这两个变量的季度和年度数据频率来解释大数据的多样性。利用大数据的影响,结果表明,尼日利亚的汇率仅在每日和季度数据频率下表现出随机游走行为,而在年度数据频率下则不表现出随机游走行为。然而,因果检验表明,投资者的投机行为并不影响该国的汇率动态。由于在尼日利亚发现汇率是有效的,因此要求货币当局促进有关汇率的实时信息,以转移投资者的不当投机。本研究表明,尼日利亚的货币当局应该围绕其固有的数据生成过程对汇率效率进行建模。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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