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This study examines the role of macroeconomic variables on stock prices movement in Ghana. We use the Databank stock index to represent Ghana stock market and a inward foreign direct investments, b the treasury bill rate as a measure of interest rates, c the consumer price index as a measure of inflation, and d the exchange rate as macroeconomic variables. We analyze both long-run and short-run dynamic relationships between the stock market index and the economic variable with quarterly data for the above variables from 1991.1 to 2006.4 using Johansen-s multivariate cointegration test and innovation accounting techniques. We established that there is cointegration between macroeconomic variables identified and Stock prices in Ghana indicating long run relationship. Results of Impulse Response Function IRF and Forecast Error Variance Decomposition FEVD indicate that interest rate and Foreign Direct Investment FDI are the key determinants of the share price movements in Ghana.

Item Type: MPRA Paper -

Original Title: Macroeconomic Factors and Stock Market Movement: Evidence from Ghana-

Language: English-

Keywords: Cointegration, Innovation Accounting, Foreign Direct Investment FDI-

Subjects: E - Macroeconomics and Monetary Economics > E4 - Money and Interest Rates > E44 - Financial Markets and the MacroeconomyC - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion ProcessesG - Financial Economics > G1 - General Financial Markets > G10 - General-

Autor: Adam, Anokye M.


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