Macroeconomic Factors and Stock Market Movement: Evidence from Ghana

26 Pages Posted: 26 Oct 2008 Last revised: 16 Mar 2009

See all articles by Anokye M. Adam

Anokye M. Adam

University of Cape Coast - School of Business

George Tweneboah

University of Leicester - School of Management

Date Written: October 1, 2008

Abstract

This study examines the effects of macroeconomic variables on the movement stock prices in Ghana. We analyze both long-run and short-run dynamic relationships between the stock market index and macroeconomic variables including inward foreign direct investments, Treasury bill rate, consumer price index, and exchange rate from 1991:1 to 2006:4 using Johansen's multivariate cointegration test and innovation accounting techniques. We established that there is cointegration between macroeconomic variables and stock prices in Ghana indicating long-run relationship. Further tests indicate that, in the short-run, inflation and exchange rates matter for share price movements in Ghana, however, interest rate and inflation prove very significant in the long-run.

Keywords: Cointegration, Innovation Accounting, Foreign Direct Investment (FDI)

JEL Classification: C22, E44, G10

Suggested Citation

Adam, Anokye M. and Tweneboah, George, Macroeconomic Factors and Stock Market Movement: Evidence from Ghana (October 1, 2008). Available at SSRN: https://ssrn.com/abstract=1289842 or http://dx.doi.org/10.2139/ssrn.1289842

Anokye M. Adam (Contact Author)

University of Cape Coast - School of Business ( email )

Cape coast
Ghana

George Tweneboah

University of Leicester - School of Management ( email )

United Kingdom

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