Stock Returns and Exchange Rate Nexus in Ghana: A Bayesian Quantile Regression Approach |
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| Authors: | Gideon Boako Maurice Omane‐Adjepong Joseph Magnus Frimpong |
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| Affiliation: | 1. +27785592681;2. Wits Business School, University of the Witwatersrand, South Johannesburg, South Africa;3. Department of Accounting and Finance, Kwame Nkrumah University of Science and Technology (KNUST), Ghana;4. Department of Economics and Statistics, Garden City University College (GCUC), Ghana |
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| 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 trade‐oriented 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. |
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| Keywords: | C11 D53 F31 G1 Bayesian quantile stock returns exchange rates cedi– dollar Ghana |
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