Speed of Adjustment of Stock Prices to Macroeconomic Information: Evidence from Ghanaian Stock Exchange (GSE)

Siaw Frimpong

Abstract


This study examines the speed of adjustment of stock prices to macroeconomic information using monthly Databank stock Index (DSI) from November 1990 to December 2007. We use Granger-Causality test to show unidirectional causality from macroeconomic information to stock prices. Our findings suggest slow adjustment of stock prices to macroeconomic information with exchange rate being the slowest. We argue that the speed of adjustment of exchange rate reflects the behaviour of foreign investors. Key words: Speed of adjustment; Price delay; Half-life; Market efficiency

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DOI: http://dx.doi.org/10.3968/j.ibm.1923842820110201.010

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