外文题目：外文题目：Macroeconomic Factors and Stock Market Movement: Evidence from Ghana 出出 处：处：School of Management, University of Leicester, UK 作作 者：者：Adam, Anokye M. and Tweneboah , George 原原 文：文：Macroeconomic Factors and Stock Market Movement: Evidence from GhanaBy Adam, Anokye M. and Tweneboah , GeorgeAbstractThis study examines the effects of macroeconomic variables on the movement stock prices in Ghana. We analyze both long-run and short-run dynamic relationships between the stock market index and macroeconomic variables including inward foreign direct investments, Treasury bill rate, consumer price index, and exchange rate from 1991:1 to 2006:4 using Johansens multivariate cointegration test and innovation accounting techniques. We established that there is cointegration between macroeconomic variables and stock prices in Ghana indicating long-run relationship. Further tests indicate that, in the short-run, inflation and exchange rates matter for share price movements in Ghana,however, interest rate and inflation prove very significant in the long-run.Keywords: Cointegration, Foreign Direct Investment, Innovation Accounting1. IntroductionThe relationship between macroeconomic factors and stock market development hasdominated in the academic and practitioners literature over the past decades. Somefundamental macroeconomic variables such as exchange rate, interest rate, industrialproduction and inflation have been argued to be the determinants of stock prices. It isbelieved that government financial policies and macroeconomic events have largeinfluence on general economic activities including the stock market. This has motivated many researchers to investigate the dynamic relationship between stock returns and macroeconomic variables. For example, using the Arbitrage Pricing Theory (APT) developed by Ross (1976), Chen et al. (1986) used some macroeconomic variables to explain stock returns in the US stock markets. They show that industrial production, changes in risk premiums, and changes in the term structure are positively related to the expected stock returns, while both the anticipated and unanticipated inflation rates negatively relate to the expected stock returns. Other researchers who studied the relationship between stock returns and macroeconomic variables in developed countries such as Japan, US, Australia, Canada and European countries (see, inter alia, Cheung and Ng, 1998; McMillan and Humpe, 1997; Mukherjee and Naka, 1995; Kwon and Shin,1999; and Maysami and Koh, 2000) employ cointegration. In spite of the increasing migration of capital from developed to emerging economies and its associated high returns (see Ushad et al, 2008; Osinubi, 2004), emerging stock markets have not been well explored. In 2006 for example, foreign equity accounted for 75.3% of the equity finance recorded in Ghana compared to 29.9% in 2001 according to the December, 2007 Quarterly Report of the Ghana Investment Promotion Centre (GIPC).The objective of the present study is to contribute to the existing literature by examining the effects of macroeconomic variables on the movement of Ghana stock market proxy by Databank Stock Index (DSI). Our results indicate that stock prices inGhana is consistently influenced by changes in macroeconomic variables consistent with the findings of studies in developed and emerging markets like the US, Japan, UK, Malaysia, New Zealand and Korea.2. Stock Returns and Macroeconomic Variables: Literature ReviewProbably the relationship between stock prices and macroeconomic variables is wellillustrated by the Dividend Discount Model (DDM) proposed by Miller and Modigliani (1961) than any other theoretical stock valuation model. According to the model the current price of an equity share equals the present value of all future cash flows to the share. Thus, the determinants of share prices are the required rate of return and expected cash flows (see Oyama, 1997; Gan et al 2006; Humpe and Mcmillan, 2007; Leibowitz, Sorensen, Arnott and Hansen, 1989; and Tessaromatis, 2003) suggesting that economic factors that influence the expected future cash flow and required rate of return affect the share price. Fama and Gibbon (1982) find that expected real returns on bills and expected inflation rates are inversely related. This is due to the positive correlation between expected real returns on financial assets and real activity.Using the multi-factor APT framework, Hamao (1988) shows that inflationsignificantly influenced Japanese stock returns. An investigation of the relationshipsbetween stock prices and real activity, inflation, and money conducted by Fama in 1981 shows a strong positive correlation between common stock returns and real variables. Kaneko and Lee (1995) and Lee (1992) find similar results. By examining the relationship between inflation and stock prices in 16 industrialized countries, Rapach (2002) agues that increase in inflation does not result in persistent deprecia