IDEAS home Printed from https://ideas.repec.org/a/taf/oabmxx/v5y2018i1p1481559.html
   My bibliography  Save this article

Co-movement of stock exchange indices and exchange rates in Ghana: A wavelet coherence analysis

Author

Listed:
  • Peterson Owusu Junior
  • Baidoo Kwaku Boafo
  • Bright Kwesi Awuye
  • Kwame Bonsu
  • Henry Obeng-Tawiah

Abstract

By means of the Continuous Morlet Wavelet Transform fostering covariance/correlation, lead-lag causal relationship as well as coherency via the wavelets analysis, we explore the two indices on the Ghana Stock Exchange, the larger Ghana Stock Exchange Composite Index (GSE-CI) and the smaller Ghana Stock Exchange Financial Services Index (GSE-FSI) with the US dollar and Euro. Using daily data from January 2011 to December 2016 we confirm that there is mixed interplay of lead-lag relationships, mostly strong at lower frequencies, among the indices and the two most important exchange rates in Ghana. This paper serves as the first of its kind in the literature owing to its rich methodology and variables employed. Our study implies that investing selectively in either GSE-CI or GSE-FSI is very important and differences in co-movement of GSE-CI and GSE-FSI with the exchange rates. We reveal that there is narrowly identifiable lead-lag relationship between GSE-CI and USD/GHS and GSE-FSI and USD/GHS. Investors as revenue maximisation agents should consider the time and frequency spaces of the GSE-CI and GSE-FSI in their investment decisions involving diversification with the USD and EUR both in the short- and medium-terms (up to four years). Further, any policy meant to influence performance on the Ghana Stock Exchange should consider the time and frequency domains of the equities traded on the exchange.

Suggested Citation

  • Peterson Owusu Junior & Baidoo Kwaku Boafo & Bright Kwesi Awuye & Kwame Bonsu & Henry Obeng-Tawiah, 2018. "Co-movement of stock exchange indices and exchange rates in Ghana: A wavelet coherence analysis," Cogent Business & Management, Taylor & Francis Journals, vol. 5(1), pages 1481559-148, January.
  • Handle: RePEc:taf:oabmxx:v:5:y:2018:i:1:p:1481559
    DOI: 10.1080/23311975.2018.1481559
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/23311975.2018.1481559
    Download Restriction: Access to full text is restricted to subscribers.

    File URL: https://libkey.io/10.1080/23311975.2018.1481559?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. María del Carmen Valls Martínez & Pedro Antonio Martín Cervantes, 2021. "Testing the Resilience of CSR Stocks during the COVID-19 Crisis: A Transcontinental Analysis," Mathematics, MDPI, vol. 9(5), pages 1-24, March.
    2. Firouzi, Shahrokh & Wang, Xiangning, 2019. "A comparative study of exchange rates and order flow based on wavelet transform coherence and cross wavelet transform," Economic Modelling, Elsevier, vol. 82(C), pages 42-56.
    3. Kola Ijasan & Peterson Owusu Junior & George Tweneboah & Tunbosun Oyedokun & Anokye M. Adam, 2021. "Analysing the relationship between global REITs and exchange rates: Fresh evidence from frequency-based quantile regressions," Advances in Decision Sciences, Asia University, Taiwan, vol. 25(3), pages 58-91, September.
    4. Siaw Frimpong, 2022. "On the Macroeconomic Conditions of West African Economies to External Uncertainty Shocks," Risks, MDPI, vol. 10(7), pages 1-27, July.
    5. Boateng, Ebenezer & Asafo-Adjei, Emmanuel & Addison, Alex & Quaicoe, Serebour & Yusuf, Mawusi Ayisat & Abeka, Mac Junior & Adam, Anokye M., 2022. "Interconnectedness among commodities, the real sector of Ghana and external shocks," Resources Policy, Elsevier, vol. 75(C).
    6. Anthony Adu-Asare Idun & Emmanuel Asafo-Adjei & Anokye Mohammed Adam & Zangina Isshaq, 2022. "Dynamic Connectedness between Indicators of the Ghana Stock Exchange Returns and Macroeconomic Fundamentals," Risks, MDPI, vol. 10(11), pages 1-31, November.
    7. Firouzi, Shahrokh & Wang, Xiangning, 2021. "The interrelationship between order flow, exchange rate, and the role of American economic news," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
    8. Seyram P. Kumah, 2024. "Cryptocurrency and African fiat currencies: A peaceful coexistence?," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 53(1), February.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:oabmxx:v:5:y:2018:i:1:p:1481559. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://cogentoa.tandfonline.com/OABM20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.