IDEAS home Printed from https://ideas.repec.org/p/eei/rpaper/eeri_rp_2013_01.html
   My bibliography  Save this paper

Macroeconomic Development and Stock Market Performance: A Non-Parametric Approach

Author

Listed:
  • George Adu
  • George Marbuah
  • Justice Tei Mensah
  • Prince Boakye Frimpong

Abstract

This 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.

Suggested Citation

  • George Adu & George Marbuah & Justice Tei Mensah & Prince Boakye Frimpong, 2013. "Macroeconomic Development and Stock Market Performance: A Non-Parametric Approach," EERI Research Paper Series EERI RP 2013/01, Economics and Econometrics Research Institute (EERI), Brussels.
    • Handle: RePEc:eei:rpaper:eeri_rp_2013_01
    as

    Download full text from publisher

    File URL: http://www.eeri.eu/documents/wp/EERI_RP_2013_01.pdf
    Download Restriction: no
    ---><---

    Other versions of this item:

    Citations

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


    Cited by:

    1. Imhotep Paul Alagidede & Gideon Boako & Bo Sjo, 2021. "African equity markets’ exposure to oil and other commodities - implications for global portfolio diversification," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 45(2), pages 288-315, April.
    2. Md. Abu HASAN, 2017. "Efficiency and Volatility of the Stock Market in Bangladesh: A Macroeconometric Analysis," Turkish Economic Review, KSP Journals, vol. 4(2), pages 239-249, June.

    More about this item

    Keywords

    Bandwidth; Ghana stock exchange; local-linear kernel regression; nonparametric;
    All these keywords.

    JEL classification:

    • 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, Innovation, Technological Change, and Growth - - Economywide Country Studies - - - Africa

    NEP fields

    This paper has been announced in the following NEP Reports:

    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:eei:rpaper:eeri_rp_2013_01. 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: Julia van Hove (email available below). General contact details of provider: https://edirc.repec.org/data/eeriibe.html .

    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.