scholarly journals SHORT TERM INTEREST RATES IMPACT ON GHANA STOCK MARKET

2013 ◽  
Vol 8 (3) ◽  
Author(s):  
Augustine Addo ◽  
Fidelis Sunzuoye
Keyword(s):  
Interest Rate ◽  
Stock Market ◽  
Interest Rates ◽  
Stock Exchange ◽  
Negative Relationship ◽  
Market Returns ◽  
Treasury Bill ◽  
Stock Market Returns ◽  
Long Run ◽  
Ghana Stock Exchange

The study examines the joint impact of interest rate and Treasury bill rate on stock market returns on Ghana Stock Exchange over the period between January 1995 and December 2011. Using Johansen’s Multivariate Cointegration Model and Vector Error Correction Model the study establish that there is cointegration between Interest rate, Treasury bill rate and stock market returns indicating long run relationship. On the basis of the Multiple Regression Analysis (OLS) carried out by Eviews 7 program, the results shows that Treasury bill rate and interest rate both have a negative relationship with stock market returns but are not significant.  These results show that interest rate and Treasury bill rate have both negative relationship but weak predictive power on stock market returns independently. The study conclude that interest rate and Treasury bill rate jointly impact on stock market returns in the long run.

The Impact of Treasury Bill Rate and Interest Rate On The Stock Market Returns: Case Of Ghana Stock Exchange

2013 ◽  
Vol 8 (2) ◽  
Author(s):  
Augustine  Addo ◽  
Fidelis Sunzuoye
Keyword(s):  
Interest Rate ◽  
Stock Market ◽  
Stock Exchange ◽  
Negative Relationship ◽  
Market Returns ◽  
Treasury Bill ◽  
Stock Market Returns ◽  
Long Run ◽  
Ghana Stock Exchange ◽  
The Impact

Several studies have suggested that macroeconomic variables affect Stock market returns using Treasury bill rate as a measure of interest rate. The study examines the joint impact of  interest rates and Treasury bill rate on  stock market returns on Ghana Stock Exchange over the period between January 1995 and December 2011. Using Johansen’s Multivariate Cointegration Model and Vector Error  Correction Model the study establish that there is cointegration between Interest rate, Treasury bill rate and stock market returns indicating long run relationship. On the basis of the Multiple Regression Analysis (OLS) carried out by Eviews 7 program, the results show that Treasury bill rate and interest rate both have a negative relationship with stock market returns but  are not  significant. These results lend support to the idea that interest rate and Treasury bill rate has both  negative  relationship  but  weak predictive  power on stock market returns independently. The study conclude that interest rate and Treasury bill rate jointly impact on stock market returns in the long run. Understanding the effects of both  Treasury bill rate and interest rate dynamics on stock market returns will help investors, fund  and portfolio managers and firms make better investment decisions.

scholarly journals A Study of the Effect of Inflation and Exchange Rate on Stock Market Returns in Ghana

2018 ◽  
Vol 2018 ◽  
pp. 1-8 ◽  
Author(s):  
Charles Kwofie ◽  
Richard Kwame Ansah
Keyword(s):  
Exchange Rate ◽  
Stock Market ◽  
Error Correction ◽  
Stock Exchange ◽  
Market Returns ◽  
Stock Market Returns ◽  
Distributed Lag ◽  
Long Run ◽  
Short Run ◽  
Ghana Stock Exchange

The study examined the effect of exchange rate and inflation on stock market returns in Ghana using monthly inflation and exchange rate data obtained from the Bank of Ghana and monthly market returns computed from the GSE all-share index from January 2000 to December 2013. The autoregressive distributed lag (ARDL) cointegration technique and the error correction parametization of the ARDL model were used for examining this effect. The ARDL and its corresponding error correction model were used in establishing the long- and short-run relationship between the Ghana Stock Exchange (GSE) market returns, inflation, and exchange rate. The result of the study showed that there exists a significant long-run relationship between GSE market returns and inflation. However, no significant short-run relationship between them existed. The result also showed a significant long- and short-run relationship between GSE market returns and exchange rate. The variables were tested for long memory and it was observed that such property did exist in these variables, making it a desirable feature of which investors can take advantage of. This is due to the establishment of long-run effect of inflation and exchange rate on stock market returns.

scholarly journals Time Series Analysis of Interest Rates Volatility and Stock Returns in Ghana

2019 ◽  
Vol 5 (2) ◽  
pp. 89-102
Author(s):  
Johnson Worlanyo Ahiadorme ◽  
Emmanuel Sonyo ◽  
Godwin Ahiase
Keyword(s):  
Time Series ◽  
Interest Rate ◽  
Stock Market ◽  
Time Series Analysis ◽  
Interest Rates ◽  
Market Returns ◽  
Stock Market Returns ◽  
Series Analysis ◽  
Long Run ◽  
Short Run

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.

scholarly journals Interest Rate And Stock Market Returns In Namibia

2014 ◽  
Vol 13 (4) ◽  
pp. 689
Author(s):  
Joel Hinaunye Eita
Keyword(s):  
Monetary Policy ◽  
Interest Rate ◽  
Stock Market ◽  
Interest Rates ◽  
Causal Relationship ◽  
Negative Relationship ◽  
Market Returns ◽  
Causality Test ◽  
Stock Market Returns ◽  
Stock Market Return

This paper analyses the causal relationship between interest rate and stock market return in Namibia for the period 1996 to 2012. The analysis was done through cointegrated vector autoregression methods. The analysis reveals that there is a negative relationship between stock market returns and interest rates in Namibia. Causality test indicates that there is bi-directional causality between stock market returns and interest rate in Namibia. The results suggest that contractionary monetary policy through higher interest rate decreases stock market returns in Namibia.

scholarly journals Effects of Interest Rate on Stock Market Returns in Kenya

2017 ◽  
Vol 9 (8) ◽  
pp. 40
Author(s):  
Donald A. Otieno ◽  
Rose W. Ngugi ◽  
Nelson H. W. Wawire
Keyword(s):  
Interest Rate ◽  
Stock Market ◽  
Granger Causality ◽  
Moving Average ◽  
Market Returns ◽  
Treasury Bills ◽  
Stock Market Returns ◽  
Long Run ◽  
Lending Rate ◽  
Short Run

Debate on the stochastic behaviour of stock market returns, 3-month Treasury Bills rate, lending rate and their cointegrating residuals remains unsettled. This study examines the stochastic properties of the macroeconomic variables, stock market returns and their cointegrating residuals using an Autoregressive Fractionally Integrated Moving Average (ARFIMA) model. It also investigates Granger causality between the two measures of interest rate and stock market returns. The study uses monthly data from 1st January 1993 to 31st December 2015. The results indicate that the 3-month Treasury Bills rate, lending rate and stock market returns are fractionally integrated which implies that shocks to the variables persist but eventually disappear. The results also reveal that the cointegrating residuals are fractionally integrated which suggests that a new and harmful long-run equilibrium might be established when each of the measures of interest rate is driven away from stock market returns. Additionally, the results indicate that the 3-month Treasury Bills rate and lending rate negatively Granger cause stock market returns in the long run. This suggests that stocks and Treasury Bills are competing investment assets. On the other hand, ARFIMA-based Granger causality reveals that stock market returns lead the 3-month Treasury Bills rate and lending rate with a negative sign in the short run. This implies that a prosperous stock market results into a favorable macroeconomic environment. A key contribution of this study is that it is the first to empirically examine fractional cointegration and ARFIMA-based Granger Causality between interest rate and stock market returns in Kenya.

scholarly journals Reaction of stock market returns to COVID-19 pandemic and lockdown policy: evidence from Nigerian firms stock returns

2021 ◽  
Vol 7 (1) ◽  
Author(s):  
Isiaka Akande Raifu ◽  
Terver Theophilus Kumeka ◽  
Alarudeen Aminu
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Stock Exchange ◽  
Estimation Methods ◽  
Panel Var ◽  
Impulse Response Functions ◽  
Market Returns ◽  
Stock Market Returns ◽  
Long Run ◽  
Policy Shocks

AbstractGiven the effects COVID-19 pandemic on the financial sectors across the world, this study examined the reaction of stock returns of 201 firms listed in the Nigerian Stock Exchange to the COVID-19 pandemic and lockdown policy. We deployed both Pooled OLS and Panel VAR as estimation methods. Generally, the results from POLS show the stock market returns of the Nigerian firms reacted negatively more to the global COVID-19 confirmed cases and deaths than the domestic COVID-19 confirmed cases and deaths and lockdown policy. The results of the impulse response functions revealed that the effects of COVID-19 confirmed cases and deaths and lockdown policy shocks on stock returns oscillate between negative and positive before the stock market returns converge to the equilibrium in the long run. The FEVD results showed that growth in the COVID-19 confirmed cases, deaths and lockdown policy shocks explained little variations in stock market returns. Given our finding, we advocate for the relaxation of policy of lockdown and the combine use of monetary and fiscal policies to mitigate the negative effect of COVID-19 pandemic on stock market returns in Nigeria.

Effects of Exchange Rate, Interest Rate, and Inflation on Stock Market Returns Volatility in Nigeria

2019 ◽  
Vol 5 (6) ◽  
pp. 38-47 ◽  
Author(s):  
Izunobi Anthony Okechukwu ◽  
Nzotta Samuel Mbadike ◽  
Ugwuanyim Geoffrey ◽  
Benedict Anayochukwu Ozurumba
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Stock Market ◽  
Negative Relationship ◽  
Series Data ◽  
Market Returns ◽  
Stock Market Returns ◽  
Market Return ◽  
Stock Market Return ◽  
The Impact

This study employed GARCH (1.1) techniques to evaluate the existence of high stock market returns volatility, and the impact of the exchange rate, interest rate and inflation on stock market returns in Nigeria, using monthly series data from 1995 – 2014. Excessive volatility hinders the stock market from playing its role of Mobilizing, financial resources from surplus units to deficit units and may cause a financial crisis. The research finding shows that interest rate has a negative relationship with stock market returns, while the inflation rate and exchange rate have a positive relationship with stock market returns. The conclusion therefore is, there is high and persistent volatility in the Nigerian stock market returns. Exchange rate, interest rate, and inflation significantly impact stock market return volatility in Nigeria. The study recommends that regulatory authorities should take proactive steps to minimize stock market return in order to restore confidence in the market.

scholarly journals The Effects of Interest Rates Volatility on Stock Market Returns in Malaysia and Singapore

2012 ◽  
Author(s):  
Karen AL Tan ◽  
Mohamed Hisham Dato Hj Yahya ◽  
Amin Nordin Bany Ariffin
Keyword(s):  
Stock Market ◽  
Interest Rates ◽  
Composite Index ◽  
Negative Relationship ◽  
Stock Market Volatility ◽  
Kuala Lumpur ◽  
Market Returns ◽  
Stock Market Returns ◽  
Interest Rate Volatility ◽  
Strong Positive Relationship

This research examines the eff ects of interest rates volatility on stock market returns in Malaysia and Singapore. The data used are market returns on the FBM Kuala Lumpur Composite Index (FBM KLCI) and 3-months deposit yields in Malaysia over the period of September 1999 to December 2010. For the Singaporean market, the monthly data of market returns on the Straits Times Index (STI) and 3-months deposit yields in Singapore during the same period are used. Two separate GARCH (1,1) models are applied for Malaysia and Singapore. Results suggest that interest rate volatility in each country has a strong positive relationship with its respective stock market volatility. The results also show that the volatility of interest rates has a negative relationship with the stock market return but the relationship is insignificant.   Keywords: Interest rates, stock market, GARCH, Malaysia, Singapore, FBM KLCI, STI.

Relationship between Foreign Portfolio Investments (FPI), Domestic Institutional Investors, and Stock Market Returns in India

GIS Business ◽  
2017 ◽  
Vol 12 (6) ◽  
pp. 1-9
Author(s):  
Dhananjaya Kadanda ◽  
Krishna Raj
Keyword(s):  
Stock Market ◽  
Institutional Investors ◽  
Negative Relationship ◽  
Trading Strategies ◽  
Market Returns ◽  
Stock Market Returns ◽  
Foreign Portfolio Investment ◽  
Stock Market Return ◽  
Indian Stock Market ◽  
Feedback Trading

The present article attempts to understand the relationship between foreign portfolio investment (FPI), domestic institutional investors (DIIs), and stock market returns in India using high frequency data. The study analyses the trading strategies of FPIs, DIIs and its impact on the stock market return. We found that the trading strategies of FIIs and DIIs differ in Indian stock market. While FIIs follow positive feedback trading strategy, DIIs pursue the strategy of negative feedback trading which was more pronounced during the crisis. Further, there is negative relationship between FPI flows and DII flows. The results indicate the importance of developing strong domestic institutional investors to counteract the destabilising nature FIIs, particularly during turbulent times.

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