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Periodical article Periodical article Leiden University catalogue Leiden University catalogue WorldCat catalogue WorldCat
Title:Economic forces and equity market returns in Ghana: symmetric dependence with quantile regressions
Author:Boako, Gideon
Periodical:Ghanaian journal of economics: a journal of the African Finance and Economics Consult (ISSN 2309-8945)
Geographic term:Ghana
Subjects:financial market
economic conditions
External link:https://journals.co.za/content/ghajecon/3/1/EJC184899
Abstract:In this paper, the authors model the dependence structure between economic forces and stock market returns in Ghana. Quantile regressions are employed to examine the relationships between exchange rates, consumer prices, treasury bill rate and money supply, and commodity prices such as gold, cocoa, and crude oil, on one hand, and returns on the Ghana stock market on the other hand from January 1992 to June 2015. The results generally show dependence of the equity market returns on all economic variables in the period before oil production in Ghana. However, variations exist in the post oil production period. The results further demonstrate how equity investors in Ghana can take advantage of gold as a safe-haven to diversify most downside risk in turbulent periods of the market. Ann., bibliogr., notes, ref., sum. [Journal abstract]