Effect of exchange rate volatility on stock prices In Ghana
Date
2019-04
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Abstract
The purpose of this study is to identify the whether there exists a Granger-causing
relationship between exchange rate and stock prices. Using the Granger-Causality model
as a framework, we employed daily data observations of the Ghana Stock Exchange
Composite Index (GSE-CI) and the USD-Cedi exchange rate values across the period
2010 -2018.
The data used in the study were obtained from the Bank of Ghana and the Ghana Stock
Exchange. Following a Granger-causality test on for causality from exchange rate to
stock price change, as well as stock price changes, the results showed that there was
neither variable significantly influenced the other. Thus, we concluded that exchange rate
changes do not Granger-cause stock price changes or vice-versa. Despite these
observations, investors should be aware of other effects of exchange rate in their
investment decisions on the stock market.
Description
Undergraduate thesis submitted to the Department of Business Administration, Ashesi University, in partial fulfillment of Bachelor of Science degree in Business Administration, April 2019
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Keywords
Ghana, exchange rate, stock price, Granger-Causality model, Ghana Stock Exchange