宏观经济因素与股市的运动：来自加纳的证据[文献翻译]

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1、外文题目：MacroeconomicFactorsandStockMarketMovement:EvidencefromGhana出处：SchoolofManagement,UniversityofLeicester,UK作者：Adam,AnokyeM.andTweneboah,George原文：MacroeconomicFactorsandStockMarketMovement:EvidencefromGhanaByAdam,AnokyeM.andTweneboah,GeorgeAbstractThisstudyexami

2、nestheeffectsofmacroeconomicvariablesonthemovementstockpricesinGhana.Weanalyzebothlong-runandshort-rundynamicrelationshipsbetweenthestockmarketindexandmacroeconomicvariablesincludinginwardforeigndirectinvestments,Treasurybillrate,consumerpriceindex,andexchangeratef

3、rom1991:1to2006:4usingJohansen'smultivariatecointegrationtestandinnovationaccountingtechniques.WeestablishedthatthereiscointegrationbetweenmacroeconomicvariablesandstockpricesinGhanaindicatinglong-runrelationship.Furthertestsindicatethat,intheshort-run,inflationand

4、exchangeratesmatterforsharepricemovementsinGhana,however,interestrateandinflationproveverysignificantinthelong-run.Keywords:Cointegration,ForeignDirectInvestment,InnovationAccounting1.IntroductionTherelationshipbetweenmacroeconomicfactorsandstockmarketdevelopmentha

5、sdominatedintheacademicandpractitioners’literatureoverthepastdecades.Somefundamentalmacroeconomicvariablessuchasexchangerate,interestrate,industrialproductionandinflationhavebeenarguedtobethedeterminantsofstockprices.Itisbelievedthatgovernmentfinancialpoliciesandma

6、croeconomiceventshavelargeinfluenceongeneraleconomicactivitiesincludingthestockmarket.Thishasmotivatedmanyresearcherstoinvestigatethedynamicrelationshipbetweenstockreturnsandmacroeconomicvariables.Forexample,usingtheArbitragePricingTheory(APT)developedbyRoss(1976),

7、Chenetal.(1986)usedsomemacroeconomicvariablestoexplainstockreturnsintheUSstockmarkets.Theyshowthatindustrialproduction,changesinriskpremiums,andchangesinthetermstructurearepositivelyrelatedtotheexpectedstockreturns,whileboththeanticipatedandunanticipatedinflationra

8、tesnegativelyrelatetotheexpectedstockreturns.Otherresearcherswhostudiedtherelationshipbetweenstockreturnsandmacroeconomicvariablesindevelopedcoun