Stock prices and macroeconomic information in Ghana: speed of adjustment and bi-causality analysis

What is it about?

Although Ghanaian literature has provided evidence of relationship including cointegration between stock market and macroeconomic information suggesting predictability of the stock price from MEIs, market predictability is not enough evidence to conclude on the extent of the market efficiency. The consequence of predictability of the market on market efficiency may be situated in terms of delay or speed of market adjustment to the information which create the predictability. In view of this, this paper investigated the speed of adjustment using delay and half-life to provide evidence of possible arbitrage gains at individual MEI level rather than the usual composite analysis. The investigation also extended to causality using TToda-Yamamoto Granger no-causality approach to test any reverse causality flowing from the stock market.

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