Interest rate, inflation and stock market performance in Ghana : a sector based vector error correction model perspective

Abstract

No AccessInterest rate, inflation and stock market performance in Ghana : a sector based vector error correction model perspective Ebenezer Larbi Asiedu Daniel Mireku-Gyimah Kofi Kamasa Henry Otoo Ebenezer Larbi Asiedu0 Search for more papers by this author Daniel Mireku-Gyimah0 Search for more papers by this author Kofi Kamasa0 Search for more papers by this author Henry Otoo0 Search for more papers by this author Affiliations 0University of Mines and Technology, Ghana Published Online:1 Mar 2021https://hdl.handle.net/10520/ejc-aa_ajber_v16_n1_a8SectionsPDF ToolsAdd to favouritesDownload CitationsTrack Citations ShareShare onFacebookTwitterLinked InRedditGMailHotmailYammer AboutAbstractThis paper sought to examine the effect of inflation and interest rate on stock returns in Ghana at the sectoral level using monthly data from 2010 to 2016. By employing the Johansen cointegration technique as well as the Vector Error Correction Model (VECM) estimator, the results reveal a negative and significant effect of inflation and interest rate on the overall stock market performance in the long run. In specifics, the sector that is highly affected by inflation changes is the petroleum sector, followed by the consumer staples sector, financial sector and mining sector. With regards to interest rate, consumer staples sector is the most affected, followed by financial sector and mining sector. The paper therefore recommends for prudent macroeconomic policies in the areas of interest rate and inflation in Ghana to derive maximum benefits from the stock markets. Previous article Next article FiguresReferencesRelatedDetails None Volume 16, Issue 1 | Mar 2021 AffiliationAdonis & Abbey PublishersThe International Bibliography of Social Sciences (IBSS)EnglishBusiness and FinanceInternational JournalsAccreditationThe International Bibliography of Social Sciences (IBSS)LanguagesEnglish InformationCopyright © 2021, Adonis & Abbey Publishers:All rights reservedKeywordsInterest ratesStock marketinflationVector Error Correction ModelCointegration Disclosure The authors confirm that the manuscript has been read and approved by all named authors and that there are no other persons who satisfied the criteria for authorship but are not listed. The authors confirm that they have given due consideration to the protection of intellectual property associated with this work and that there are no impediments to publication, including the timing of publication, with respect to intellectual property. Ethical conduct of research The authors state that they have obtained appropriate institutional review board outlined in the Declaration of Helsinki for all human or animal experimental investigations. A signed informed consent document has been obtained from all participants included in the study.