Electronic Filing and Value Added Tax Collection Efficient on Stock Market Liquidity in Nigeria

This study examined the Effect of Electronic Filing (E-Filing) Adoption and Value Added Tax (VAT) Collection Efficiency on Stock Market Liquidity in Nigeria over the period 1994 to 2024. Three specific objectives were pursued: to assess the impact of e-filing adoption on stock market liquidity; to evaluate the relationship between VAT collection efficiency and stock market liquidity; and to determine the joint influence of both variables on market performance and investor participation. The study adopted an ex-post facto research design and relied exclusively on secondary time series data spanning thirty-one years. Data were sourced from the Federal Inland Revenue Service (FIRS), the Nigerian Exchange Group (NGX), and the National Bureau of Statistics (NBS). The OLS regression results showed that e-filing adoption exerted a positive and statistically significant impact on stock market liquidity (β = 0.1963; p = 0.009), while VAT collection efficiency demonstrated the strongest positive effect (β = 0.4875; p = 0.000). Inflation negatively and significantly affected stock market liquidity (β = −0.0082; p = 0.007), while GDP growth rate had a positive and significant influence (β = 0.0164; p = 0.013). CUSUM stability tests indicated structural stability throughout the study period. All three null hypotheses were rejected at the 5% level of significance. The study concluded that e-filing adoption and VAT collection efficiency are significant drivers of stock market liquidity in Nigeria, with both individual and joint effects confirmed empirically. It is recommended that policymakers sustain investment in digital tax infrastructure, prioritize VAT compliance enforcement, and maintain macroeconomic stability to deepen capital market participation. These findings contribute to the literature on fiscal digitalization and financial market development in emerging economies, particularly within the Nigerian and Sub-Saharan African context.