Time series analysis of interest rates volatility and stock returns in Ghana
Emmanuel Sonyo and
MPRA Paper from University Library of Munich, Germany
The study utilized time series analysis models and employed the Johansen's cointegration procedure and the vector error correction model to examine the short run and long run dynamics of the relationship between interest rates and stock market returns. The results of this study show that contrary to popular evidence from extant research, interest rate changes positively and significantly affect stock market returns in the long run and the deviation from the long run equilibrium is corrected each period following a shock to the stock market in the short run. The positive linkages between interest rate changes and stock market outturns may be explained by the relative strength of banking stocks on the Ghana Stock Exchange. The analysis shows that as the long run equilibrium is approached, the deviations in the short term decrease significantly.
Keywords: Interest rate; stock returns; cointegration; time series analysis; VECM (search for similar items in EconPapers)
JEL-codes: E43 E44 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-mac and nep-ore
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
https://mpra.ub.uni-muenchen.de/94292/1/MPRA_paper_94292.pdf original version (application/pdf)
Journal Article: Time Series Analysis of Interest Rates Volatility and Stock Returns in Ghana (2019)
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:pra:mprapa:94292
Access Statistics for this paper
More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().