The performance of the Ghana Stock Exchange (GSE) over the years has been susceptible to both crises and country-specific factors reflected in its macroeconomic fundamentals. Accordingly, the GSE composite index (GSECI) has experienced rapid fluctuations across time, coupled with a declining...

This study contributes to the scant finance literature on information flow from international economic policy uncertainty to emerging stock markets in Africa, using daily US economic policy uncertainty as a proxy and the daily stock market index for Botswana, Egypt, Ghana, Kenya, Morocco,...

The impact from COVID is dire to economies, and G20 countries are no exception irrespective of how developed their market are. This is due to how investors respond to bad and good news alike. Using daily data, for the G20 countries and data on COVID, we employ quantile regression (QR) and...

We investigated the behaviour of returns of the Johannesburg Stock Exchange All Share Index using asymmetrical exponential-GARCH(1,1) and GJR-GARCH(1,1) incorporating the market reactions to news. We noted the returns distribution is skewed and have fat-tails with respect to the normal...

In this paper, we investigate the goodness-of-fit of the flexible four-parameter generalized Lambda Distribution (GLD) for high-frequency 5-min returns sampled from the DJI30 Index. Applying Moment Matching (MM) and Maximum Likelihood Estimation (MLE) techniques, we highlight the significance of...

Based on Fisher (1930) hypothesis, we test whether Ghana stock market can hedge against inflation in the long run using cointegration analysis. Using data for the Databank stock Index (DSI) from January 1991 to December 2007, the results give strong support for the hedge property. Thus Ghana...