scholarly journals Jump Diffusion Modeling of Stock Prices on Ghana Stock Exchange

2020 ◽  
Vol 08 (09) ◽  
pp. 1736-1754
Author(s):  
Osei Antwi ◽  
Kyere Bright ◽  
Kwasi Awuah Wereko
Keyword(s):  
Stock Prices ◽  
Stock Exchange ◽  
Jump Diffusion ◽  
Diffusion Modeling ◽  
Ghana Stock Exchange

scholarly journals Effect of Interest Rate on Stock Prices in Ghana

2021 ◽  
Vol 12 (1(S)) ◽  
pp. 1-7
Author(s):  
Peter Arhenful ◽  
Augustine Kwadwo Yeboah ◽  
Kofi Sarfo Adjei
Keyword(s):  
Interest Rate ◽  
Interest Rates ◽  
Stock Prices ◽  
Time Series Data ◽  
Stock Exchange ◽  
Ordinary Least Squares ◽  
Series Data ◽  
Augmented Dickey Fuller ◽  
Ghana Stock Exchange ◽  
Adf Test

The paper assesses the effect of interest rate on stock prices, with emphases on Ghana Stock Exchange; using monthly time series data from July 2007 to December 2019. The Augmented Dickey-Fuller (ADF) test was employed to establish the stationarity properties of the data or otherwise. Using the Ordinary Least Squares (OLS) estimation technique of Multiple Regression, the results (? = – 0.891, p < 0.05) revealed an indirect association between interest rates and stock prices in the Ghanaian context; which is consistent with the theoretical conclusion that an increase in interest rate results in a decrease in stock prices. Thus, in the light of this finding, it was recommended that policymakers should consider the stock market dynamics due to the significant relationship that exists between the two macroeconomic variables.

Stock Returns and Long-range Dependence

2019 ◽  
pp. 097215091986696
Author(s):  
Alexander Ayertey Odonkor ◽  
Emmanuel Nkrumah Ababio ◽  
Emmanuel Amoah- Darkwah ◽  
Richard Andoh
Keyword(s):  
Stock Returns ◽  
Stock Prices ◽  
Long Memory ◽  
Stock Exchange ◽  
Moving Average ◽  
Efficient Market Hypothesis ◽  
Conditional Heteroskedasticity ◽  
Relevant Market ◽  
Figarch Model ◽  
Ghana Stock Exchange

This article studies the long memory behaviour of stock returns on the Ghana Stock Exchange. The estimates employed are based on the daily closing prices of seven stocks on the Ghana Stock Exchange. The results of the autoregressive fractionally integrated moving average-fractionally integrated generalized autoregressive conditional heteroskedasticity (ARFIMA-FIGARCH) model suggest that the stock returns are characterized by a predictable component; this demonstrates a complete departure from the efficient market hypothesis suggesting that relevant market information was only partially reflected in the changes in stock prices. This pattern of time dependence in stock returns may allow for past information to be used to improve the predictability of future returns.

scholarly journals Cointegration of Stock Prices and Domestic Portfolio Diversification Opportunities: Evidence from the Ghana Stock Exchange

2017 ◽  
Vol 4 (5) ◽  
pp. 78
Author(s):  
George Amfo-Antiri ◽  
Edward Quansah
Keyword(s):  
Stock Returns ◽  
Stock Prices ◽  
Stock Exchange ◽  
Composite Index ◽  
Cointegration Analysis ◽  
Portfolio Diversification ◽  
Individual Investors ◽  
Long Run ◽  
Ghana Stock Exchange ◽  
Bound Test

This paper employed Engle-Granger test of cointegration and the Bound Test to explore potential domestic portfolio diversification opportunities that are available for individual investors, institutional and other portfolio managers from constructing domestic portfolios. Daily stock prices for the period 1st August, 2011 to July 29th, 2016 have been employed as well as monthly stock return from the Ghana Stock exchange. The result from the cointegration analysis indicated that most equity stocks listed on the Ghana Stock Exchange are not cointegrated with each other in the long run. In addition, majority of the stock returns are statistically insensitive to the GSE– Composite index during the period under consideration. The empirical evidence indicates that domestic investors can benefit from constructing portfolios that consist of equities from the financial sector and other non-financial sectors which are not cointegrated.

Value relevance of accounting information: an emerging country perspective

2018 ◽  
Vol 14 (4) ◽  
pp. 473-491 ◽  
Author(s):  
Bismark Badu ◽  
Kingsley Opoku Appiah
Keyword(s):  
Financial Reporting ◽  
Stock Prices ◽  
Value Relevance ◽  
Stock Exchange ◽  
Accounting Information ◽  
Price Model ◽  
Content Type ◽  
Book Value ◽  
Emerging Country ◽  
Ghana Stock Exchange

Purpose This paper aims to examine the value relevance of accounting information from an emerging country perspective. Design/methodology/approach The study adopts Ohlson (1995) Price model to examine the extent to which accounting information explain variation in stock prices of listed firms on the Ghana Stock Exchange. Findings The study reveals that earnings and book value of equity exhibit a positive and significant relationship in stock prices. Earnings explain higher variation in stock market values on the Ghana Stock Exchange compared to book value of equity. The study however finds that despite the introduction of the International Financial Reporting Standards in Ghana, the value relevance of book value and earnings have declined significantly over the period 2005-2014. Research limitations/implications A key implication is that regulators of capital markets, standards setters and accounting practitioners need to consistently improve upon the quality of financial reporting disclosures which will boost the confidence of users in their reliance on financial statements as the basis for choosing among alternative use of scarce resources. The authors adopted only the price model in testing the hypotheses. However, to provide comprehensive understanding of value relevance of accounting information, future studies can combine both the price and the return models. Originality/value The authors extend prior literature in the Ghanaian context with recent data. Finally, the study adds to the efficient market hypothesis by showing how share prices reflect accounting information produced by Ghanaian firms.

The Effect of Current Ratio and Debt to Asset Ratio on Net Profit Margin and Stock Prices: A Study of Basic Industry and Chemicals Companies

2020 ◽  
pp. 282-294
Author(s):  
Sudirman S ◽  
Muhammad Wahyuddin Abdullah ◽  
Muhammad Obie
Keyword(s):  
Stock Prices ◽  
Stock Exchange ◽  
Secondary Data ◽  
Profit Margin ◽  
Current Ratio ◽  
Industry Sector ◽  
Basic Industry ◽  
Net Profit ◽  
Equity Ratio ◽  
Index Value

This study examined the effect of current ratio and debt to asset ratio on net profit margin and stock prices of the sector basic industry and chemicals companies listed on the Indonesia Stock Exchange in the period 2015-2019. The object of research was the stock prices of companies in the Basic Industry and Chemicals sector, which have been published through the official website of the Indonesian capital market. It was used secondary data derived from the monthly statistics, including Current Ratio data, Net Profit Margin, Debt to Asset Ratio, and data on closing prices for the period 2015-2019. In analyzing data, it was used path analysis of secondary data obtained from the basic industry sector financial statements of 60 companies. The company's performance in this sector is considered quite good when seen from the movement of the index value in the last five years. The results show that direct current ratio had a positive and significant effect on the net profit margin, and the debt to equity ratio did not significantly influence the net profit margin. The current ratio has a positive and significant effect on stock prices, and the debt to equity ratio has a negative and not significant effect on stock prices. In contrast, the net profit margin has a significant effect on stock prices in the basic industry sector companies on the Indonesia Stock Exchange. Indirectly the current ratio has a positive and significant effect on stock prices. In contrast, the debt to asset ratio has a negative and not significant effect on the company's stock prices in the basic industry sector on the Indonesia Stock Exchange.

The Effect of Managerial Ownership, Financial Performance, Corporate Competition on Stock Prices with Capital Structure as the Intervening Variable in the Coal Mining Companies Listed on the Indonesia Stock Exchange

2020 ◽  
Vol 2 (1) ◽  
pp. 24-33
Author(s):  
Yulia Afriani ◽  
Abdul Rakhman Laba ◽  
Andi Aswan
Keyword(s):  
Capital Structure ◽  
Financial Performance ◽  
Coal Mining ◽  
Stock Prices ◽  
Stock Exchange ◽  
Secondary Data ◽  
Sampling Technique ◽  
Managerial Ownership ◽  
Firm Competition ◽  
Mining Companies

This study aimed to find out the effect of managerial ownership, financial performance, corporate competition on stock prices with capital structure as the intervening variable in the coal mining companies listed on the Indonesia Stock Exchange. Managerial ownership variables by the shareholding presentation. Financial performance variables by Total Asset Turnover (TATO). Firm competition variable by Concentration Ratio (CR). Capital structure variables by Debt to Equity Ratio (DER). Stock prices variable by Price to Book Value (PBV). The population of this study was the coal mining companies listed on the IDX. This study used Purposive as the sampling technique. The data source was secondary data from financial statements published through the IDX official website. This study used descriptive statistics and inferential statistics with a quantitative approach using regression techniques with the E-Views version 10 program. The results of this study showed that the dealings of managerial ownership had a positive and significant effect on DER, TATO had a negative and not significant effect on DER, while CR had a negative and significant effect on DER. The dealings of managerial ownership, TATO, DER has a positive and significant effect on PBV, while CR has a negative and not significant. The dealings of managerial ownership influences PBV through DER, interestingly TATO has no effect on PBV through DER and CR influences PBV through DER

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