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Short Term Interest Rates Impact On Ghana Stock Market

Author

Listed:
  • Augustine Addo

    (Kumasi Polytechnic)

  • Fidelis Sunzuoye

    (Kumasi Polytechnic)

Abstract

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.

Suggested Citation

  • Augustine Addo & Fidelis Sunzuoye, 2013. "Short Term Interest Rates Impact On Ghana Stock Market," European Journal of Business and Economics, Central Bohemia University, vol. 8(3), pages 3911:8-3911, October.
    • Handle: RePEc:aad:ejbejj:v:8:y:2013:i:3:p:391
    DOI: 10.12955/ejbe.v8i3.391
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    Cited by:

    1. Johnson Worlanyo Ahiadorme & Emmanuel Sonyo & Godwin Ahiase, 2019. "Time Series Analysis of Interest Rates Volatility and Stock Returns in Ghana," Emerging Economy Studies, International Management Institute, vol. 5(2), pages 89-102, November.

    More about this item

    Keywords

    Treasury billInterest rate; Stock Market Returns; Ghana Stock Exchange.;
    All these keywords.

    JEL classification:

    • G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies

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