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Foreign exchange rate volatility and firm value: evidence from Ghana

Author

Listed:
  • Seth Baffoe-Kodom
  • Kingsley Opoku Appiah
  • Lawrence Adu Asamoah

Abstract

The study examines the exchange rate volatility and value of firms listed on Ghana Stock Exchange. We employ nominal exchange rate figures and stock prices of 30 firms listed on Ghana Stock Exchange. We use Augmented Dickey Fuller Unit Root, Vector Error Correction Model and General Autoregressive Conditional Heteroskedasticity (GARCH) for the analysis. We find relationship between exchange rate volatility and share prices. Six of our sample firms exhibit negative relationship between exchange rate volatility and share prices. The results further reveal the existence of a short-run relationship between the stock prices and volatility in the exchange rate as well as the direction and speed of adjustment to long-run equilibrium.

Suggested Citation

  • Seth Baffoe-Kodom & Kingsley Opoku Appiah & Lawrence Adu Asamoah, 2016. "Foreign exchange rate volatility and firm value: evidence from Ghana," International Journal of Management Practice, Inderscience Enterprises Ltd, vol. 9(2), pages 192-208.
    • Handle: RePEc:ids:ijmpra:v:9:y:2016:i:2:p:192-208
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