Speed of Adjustment to Macroeconomic Information: Evidence from Ghanaian Stock Market (GSE)

13 Pages Posted: 25 Apr 2010

See all articles by Siaw Frimpong

Siaw Frimpong

University of Cape Coast - School of Business

Date Written: April 25, 2010

Abstract

This study examines the speed of adjustment of stock prices to macroeconomic information using monthly Databank stock Index (DSI) from November 1990 to December 2007. We use Granger-Causality test to show unidirectional causality from macroeconomic information to stock prices. Our findings suggest slow adjustment of stock prices to macroeconomic information with exchange rate being the slowest. We argue that the speed of adjustment of exchange rate reflects the behaviour of foreign investors.

Keywords: Speed of Adjustment, Price Delay, Half-Life, Market Efficiency

JEL Classification: G10, G14, G15

Suggested Citation

Frimpong, Siaw, Speed of Adjustment to Macroeconomic Information: Evidence from Ghanaian Stock Market (GSE) (April 25, 2010). Available at SSRN: https://ssrn.com/abstract=1595513 or http://dx.doi.org/10.2139/ssrn.1595513

Siaw Frimpong (Contact Author)

University of Cape Coast - School of Business ( email )

Cape coast
Ghana

HOME PAGE: http://business.ucc.edu.gh/accfinance/staff/mrsiaw

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