Macroeconomic Development and Stock Market Performance: A Non-Parametric Approach
AbstractThis 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.
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Bibliographic InfoPaper provided by Economics and Econometrics Research Institute (EERI), Brussels in its series EERI Research Paper Series with number EERI RP 2013/01.
Date of creation: 01 Jan 2013
Date of revision:
Bandwidth; Ghana stock exchange; local-linear kernel regression; nonparametric;
Other versions of this item:
- George Adu & George Marbuah & Justice Tei Mensah & Prince Boakye Frimpong, 2012. "Macroeconomic Development and Stock Market Performance: A Non-Parametric Approach," Journal of Economics and Econometrics, Economics and Econometrics Research Institute (EERI), Brussels, vol. 55(3), pages 100-129.
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- G00 - Financial Economics - - General - - - General
- O55 - Economic Development, Technological Change, and Growth - - Economywide Country Studies - - - Africa
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