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,GeorgeAbstractThisstudyexa

2、minestheeffectsofmacroeconomicvariablesonthemovementstockpricesinGhana.Weanalyzebothlong-runandshort-rundynamicrelationshipsbetweenthestockmarketindexandmacroeconomicvariablesincludinginwardforeigndirectinvestments,Treasurybillrate,consumerpriceindex,andexchanger

3、atefrom1991:1to2006:4usingJohansen'smultivariatecointegrationtestandinnovationaccountingtechniques.WeestablishedthatthereiscointegrationbetweenmacroeconomicvariablesandstockpricesinGhanaindicatinglong-runrelationship.Furthertestsindicatethat,intheshort-run,inflat

4、ionandexchangeratesmatterforsharepricemovementsinGhana,however,interestrateandinflationproveverysignificantinthelong-run.Keywords:Cointegration,ForeignDirectInvestment,InnovationAccounting1.IntroductionTherelationshipbetweenmacroeconomicfactorsandstockmarketdevel

5、opmenthasdominatedintheacademicandpractitioners’literatureoverthepastdecades.Somefundamentalmacroeconomicvariablessuchasexchangerate,interestrate,industrialproductionandinflationhavebeenarguedtobethedeterminantsofstockprices.Itisbelievedthatgovernmentfinancialpol

6、iciesandmacroeconomiceventshavelargeinfluenceongeneraleconomicactivitiesincludingthestockmarket.Thishasmotivatedmanyresearcherstoinvestigatethedynamicrelationshipbetweenstockreturnsandmacroeconomicvariables.Forexample,usingtheArbitragePricingTheory(APT)developedb

7、yRoss(1976),Chenetal.(1986)usedsomemacroeconomicvariablestoexplainstockreturnsintheUSstockmarkets.Theyshowthatindustrialproduction,changesinriskpremiums,andchangesinthetermstructurearepositivelyrelatedtotheexpectedstockreturns,whileboththeanticipatedandunanticipa

8、tedinflationratesnegativelyrelatetotheexpectedstockreturns.Otherresearcherswhostudiedtherelationshipbetweenstockreturnsandmacroeconomicvariablesindevelopedcoun