Interest Rate and Stock Market Returns in Africa

Charles Adjasi and Nicholas Biekpe

The African Finance Journal, 2006, vol. 8, issue 2, 12-30

Abstract: 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)
Date: 2006
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:afj:journl:v:8:y:2006:i:2:p:12-30

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