Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/142653
Authors: 
Adu, George
Marbuah, George
Mensah, Justice Tei
Frimpong, Prince Boakye
Year of Publication: 
2013
Series/Report no.: 
EERI Research Paper Series 01/2013
Abstract: 
This paper applies a local-linear non-parametric kernel regression technique to examine the effect of macroeconomic factors on stock market performance in Ghana. We show that the popular parametric specification in the existing literature suffers from functional misspecification. The evidence suggests that the relationship is non-linear and hence the implied elasticities are non-constant, contrary to findings in the literature. The main finding of the study suggests that stock prices are significantly affected by macroeconomic fundamentals and oil price shocks albeit weakly. This reinforces the need to closely monitor behaviour of macroeconomic indicators while sustaining prudent macroeconomic policy management.
Subjects: 
Bandwidth
Ghana stock exchange
local-linear kernel regression
nonparametric
JEL: 
C13
C14
G00
O55
Document Type: 
Working Paper

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