An examination of the effect of macroeconomic variables on Ghana stock market returns in Ghana
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Date
MAY, 2016
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Abstract
This study sought to investigate the effects of macroeconomic variables in Ghana
Stock Exchange using time series analysis from the period of 2000-2013.
Five micro economic variables were used which include Ghana Stock Exchange,
exchange rate, inflation rate, T-bill rate (proxy for interest rate) and Broad money
supply (M2). Data on the Stock Exchange was proxy as the All –share index where all
these variables were obtained from the Ghana Stock Exchange and the Bank of Ghana
as a secondary source.
A test for unit root using Augmented Dickey Fuller was performed. This showed that
the variables exhibited the presence of unit root at 95% confidence interval.
Further Johansen and Julius trace and maximum Eigen value tested for co-integration
came out to test for the existence of Long run relation among the variables where
lastly this was followed by the estimation of vector error correction module of the
short and long run impact relationship among the selected micro economic variables
and stock pricing.
Description
A thesis submitted to The Department of Economics, Kwame Nkrumah University of Science and Technology in partial fulfilment for the award of a degree of Master of Science (Economics).