The relationship between exchange rate volatility and stock returns on the Ghana stock exchange.
| dc.contributor.author | Afful, Seth | |
| dc.date.accessioned | 2025-05-15T13:14:14Z | |
| dc.date.available | 2025-05-15T13:14:14Z | |
| dc.date.issued | 2018-05 | |
| dc.description | A dissertation submitted in partial fulfillment of the requirement for the Award of Degree of Master of Science in Economics. | |
| dc.description.abstract | The study employs Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model to examine the relationship between exchange rate volatility and stock prices from January, 2000 to August, 2016. The purpose of the study was to ascertain whether investors and fund managers can take advantage of diversification to minimize risk and maximize return. A sample of 200 monthly observations of stock and exchange rate returns was used for the purposes of the analysis. It was revealed that there is a negative relationship between stock price movements and exchange rates volatility and the relationship is strong and significant. This implies that an increase in exchange rate volatility will lead to a decrease in stock market volatility. This study recommends the need for policy maker’s intervention in times of abnormal exchange rate volatility so as to boost investor confidence and the need for increased use of efficient hedging instruments by firms on the stock markets thus, eliminating negative effects | |
| dc.description.sponsorship | KNUST | |
| dc.identifier.uri | https://ir.knust.edu.gh/handle/123456789/16919 | |
| dc.language.iso | en | |
| dc.publisher | KNUST | |
| dc.title | The relationship between exchange rate volatility and stock returns on the Ghana stock exchange. | |
| dc.type | Thesis |