1. INTRODUCTION
1.2. Spin Phenomena in Different Material Systems
Based on the finding from the study we recommend that there is need to introduce and implement policies that will increase the level and size of Market Capitalization in the Nigerian Capital Market by the government through the Central Bank as increase in Market Capitalization will surely increase fund availability for desired investment which in turn will increase productivity of the
Nation. This goes beyond mere regulatory measures but should include but not limited to punitive measures to check fraud and other malpractices that betray the trust from investor. Investors should be encouraged with necessary incentives so as to increase the volume and value of equities being traded upon in Nigeria, thus widening the coast of investment opportunities as well as increasing productivity.
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APPENDIX I
TIME SERIES DATA ON RGDP, INTR AND SMCAP, DATA RANGING FROM 1981-2016
YEAR RGDP INTR SMCAP
1981 15258 8.6 5
1982 14985.08 4.49 5 1983 13849.73 3.33 5.7 1984 13779.26 2.67 5.5 1985 14953.91 3.69 6.6 1986 15237.99 1.5 6.8 1987 15263.93 31.92 8.2 1988 16215.37 5.13 10 1989 17294.68 16.96 12.8 1990 19305.63 14.65 16.3 1991 19199.06 2.07 23.1 1992 19620.19 25.77 31.2
1993 19927.99 4.37 47.5 1994 19979.12 8.03 66.3 1995 20353.2 43.57 180.4 1996 21177.92 9.71 285.8 1997 21789.1 16.61 281.9 1998 22332.87 25.28 262.6 1999 22449.41 2.77 300 2000 23688.28 10.32 472.3 2001 25267.54 23.84 662.5 2002 28957.71 10.81 764.9 2003 31709.45 8.61 1359.3 2004 35020.55 19.37 2112.5 2005 37474.95 3.34 2900.1 2006 39995.5 0.37 5120.9 2007 42922.41 11.61 13181.7 2008 46012.52 4.19 9563 2009 49856.1 23.71 7030.8 2010 54612.26 42.31 9918.2 2011 57511.04 5.94 10275.3 2012 59929.89 6.88 14800.9 2013 63218.72 10.25 19077.4 2014 67152.79 11.36 16875.1 2015 69023.93 9.49 17003.4 2016 67931.24 27.29 16185.7
SOURCE: NIGERIA STOCK EXCHANGE MARKET ANNUAL RETURN AND CENTRAL BANK OF NIGERIA STATISTICAL BULLETIN
APPENDIX II
STATIONALITY TEST RESULT ON RGDP
Null Hypothesis: D(RGDP) has a unit root Exogenous: None
Lag Length: 0 (Automatic - based on SIC, maxlag=9)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -5.187876 0.0325
Test critical values: 1% level -2.636901
5% level -1.951332
10% level -1.610747
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(RGDP,3) Method: Least Squares
Date: 07/16/18 Time: 15:10 Sample (adjusted): 1984 2016
Included observations: 33 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
D(RGDP(-1),2) -1.032729 0.199066 -5.187876 0.0000 R-squared 0.455792 Mean dependent var -63.67879 Adjusted R-squared 0.455792 S.D. dependent var 1474.906 S.E. of regression 1088.045 Akaike info criterion 16.85199 Sum squared resid 37882940 Schwarz criterion 16.89734 Log likelihood -277.0578 Hannan-Quinn criter. 16.86725 Durbin-Watson stat 1.692075
APPENDIX III
STATIONALITY TEST RESULT ON SMCAP
Null Hypothesis: D(SMCAP) has a unit root Exogenous: Constant, Linear Trend
Lag Length: 3 (Automatic - based on SIC, maxlag=9)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -5.677361 0.0003
Test critical values: 1% level -4.284580
5% level -3.562882
10% level -3.215267
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(SMCAP,2) Method: Least Squares
Date: 07/16/18 Time: 15:14 Sample (adjusted): 1986 2016
Included observations: 31 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
D(SMCAP(-1)) -2.710771 0.477470 -5.677361 0.0000 D(SMCAP(-1),2) 1.517014 0.393964 3.850642 0.0007 D(SMCAP(-2),2) 0.905469 0.284868 3.178555 0.0039 D(SMCAP(-3),2) 0.676625 0.188368 3.592040 0.0014
C -1682.627 855.1837 -1.967562 0.0603
@TREND("1981") 155.3650 47.45926 3.273649 0.0031 R-squared 0.725130 Mean dependent var -26.41290 Adjusted R-squared 0.670156 S.D. dependent var 3030.748 S.E. of regression 1740.621 Akaike info criterion 17.93386 Sum squared resid 75744070 Schwarz criterion 18.21140 Log likelihood -271.9748 Hannan-Quinn criter. 18.02433 F-statistic 13.19040 Durbin-Watson stat 1.985230 Prob(F-statistic) 0.000002
APPENDIX IV
STATIONALITY TEST RESULT ON INTR
Null Hypothesis: INTR has a unit root Exogenous: Constant
Lag Length: 3 (Automatic - based on SIC, maxlag=9)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -3.988088 0.0043
Test critical values: 1% level -3.653730
5% level -2.957110
10% level -2.617434
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(INTR)
Method: Least Squares Date: 07/16/18 Time: 15:15 Sample (adjusted): 1985 2016
Included observations: 32 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
INTR(-1) -1.434309 0.359648 -3.988088 0.0005
D(INTR(-1)) 0.396878 0.319213 1.243301 0.2244
D(INTR(-2)) 0.205155 0.246848 0.831100 0.4132
D(INTR(-3)) 0.418810 0.170915 2.450393 0.0210
C 19.32266 4.946011 3.906716 0.0006
R-squared 0.689892 Mean dependent var 0.769375
Adjusted R-squared 0.643950 S.D. dependent var 17.38239 S.E. of regression 10.37207 Akaike info criterion 7.658711 Sum squared resid 2904.655 Schwarz criterion 7.887732 Log likelihood -117.5394 Hannan-Quinn criter. 7.734625 F-statistic 15.01658 Durbin-Watson stat 2.042758 Prob(F-statistic) 0.000001
APPENDIX V
COINTEGRATION TEST RESULT
Null Hypothesis: ECT has a unit root Exogenous: None
Lag Length: 0 (Automatic - based on SIC, maxlag=8)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -2.355455 0.0199
Test critical values: 1% level -2.634731
5% level -1.951000
10% level -1.610907
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(ECT) Method: Least Squares Date: 07/16/18 Time: 15:18 Sample (adjusted): 1983 2016
Included observations: 34 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
ECT(-1) -0.303971 0.129050 -2.355455 0.0246
R-squared 0.143729 Mean dependent var -17.71429 Adjusted R-squared 0.143729 S.D. dependent var 1177.793 S.E. of regression 1089.870 Akaike info criterion 16.85447 Sum squared resid 39197935 Schwarz criterion 16.89937 Log likelihood -285.5261 Hannan-Quinn criter. 16.86978 Durbin-Watson stat 1.660631
APPENDIX VI
ERROR CORRECTION MECHANISM
Dependent Variable: D(RGDP) Method: Least Squares Date: 07/16/18 Time: 15:22 Sample (adjusted): 1983 2016
Included observations: 34 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
D(SMCAP) 0.149515 0.124553 1.200407 0.2391
INTR 65.54768 14.62796 4.480987 0.0001
ECT(-1) -0.692152 0.174739 3.961070 0.0004
R-squared 0.158530 Mean dependent var 1557.240
Adjusted R-squared 0.104242 S.D. dependent var 1532.667
S.E. of regression 1450.585 Akaike info criterion 17.48142 Sum squared resid 65230066 Schwarz criterion 17.61610 Log likelihood -294.1841 Hannan-Quinn criter. 17.52735 Durbin-Watson stat 1.347074
APPENDIX VII