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Please use this identifier to cite or link to this item: http://hdl.handle.net/123456789/10605

Title: Stock Returns and Exchange Rate Nexus in Ghana: A Bayesian Quantile Regression Approach
Authors: Boako, Gideon
Omane-Adjepong, Maurice
Frimpong, Joseph Magnus
Keywords: Bayesian quantile
Stock returns
Exchange rates
Cedi–dollar
Ghana
Issue Date: Mar-2016
Publisher: South African Journal of Economics
Citation: South African Journal of Economics Vol. 84:1 March 2016
Abstract: This paper presents analysis of the relationship and dependence structure between stock returns and exchange rates in Ghana using data of daily periodicity from January 4, 2011 to July 31, 2014. Analyses are conducted by means of Bayesian quantile regression (QR) technique and multiple causality tests. Our findings suggest high dependence of the equity market on the foreign exchange market in Ghana, and that the link between the two markets follows the international tradeoriented model more than the portfolio balance theory. We report that among the six exchange rates used, only the cedi–dollar registers instantaneous effect on the equity market
Description: An article published by South African Journal of Economics Vol. 84:1 March 2016
URI: http://hdl.handle.net/123456789/10605
Appears in Collections:College of Arts and Social Sciences

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