Interest Rate and Stock Market Returns in Africa
Charles Adjasi and
The African Finance Journal, 2006, vol. 8, issue 2, 12-30
The paper examines the relationship between interest rates and stock market returns for seven African countries. Cointegration tests indicate a long-run relationship between interest rate and stock prices for Kenya and South Africa. The short-run dynamic Vector Error Correction Model Granger causality shows unidirectional causality from stock returns to interest rate in Kenya and bidirectional causality in South Africa. Responses to shocks from impulse response functions have long lasting effects in Egypt, Ghana, Nigeria and Tunisia and are short-lived in Mauritius.
Keywords: Interest Rate; Stock Returns; Long-term; Short-term; Casuality; Africa; Shocks; Response (search for similar items in EconPapers)
JEL-codes: G10 G14 (search for similar items in EconPapers)
References: Add references at CitEc
Citations: View citations in EconPapers (3) Track citations by RSS feed
Downloads: (external link)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:afj:journl:v:8:y:2006:i:2:p:12-30
Access Statistics for this article
More articles in The African Finance Journal from Africagrowth Institute Contact information at EDIRC.
Bibliographic data for series maintained by Kirk De Doncker ().