1、外文题目MACROECONOMICFACTORSANDSTOCKMARKETMOVEMENTEVIDENCEFROMGHANA出处SCHOOLOFMANAGEMENT,UNIVERSITYOFLEICESTER,UK作者ADAM,ANOKYEMANDTWENEBOAH,GEORGE原文MACROECONOMICFACTORSANDSTOCKMARKETMOVEMENTEVIDENCEFROMGHANABYADAM,ANOKYEMANDTWENEBOAH,GEORGEABSTRACTTHISSTUDYEXAMINESTHEEFFECTSOFMACROECONOMICVARIABLESONTHEM
2、OVEMENTSTOCKPRICESINGHANAWEANALYZEBOTHLONGRUNANDSHORTRUNDYNAMICRELATIONSHIPSBETWEENTHESTOCKMARKETINDEXANDMACROECONOMICVARIABLESINCLUDINGINWARDFOREIGNDIRECTINVESTMENTS,TREASURYBILLRATE,CONSUMERPRICEINDEX,ANDEXCHANGERATEFROM19911TO20064USINGJOHANSENSMULTIVARIATECOINTEGRATIONTESTANDINNOVATIONACCOUNTING
3、TECHNIQUESWEESTABLISHEDTHATTHEREISCOINTEGRATIONBETWEENMACROECONOMICVARIABLESANDSTOCKPRICESINGHANAINDICATINGLONGRUNRELATIONSHIPFURTHERTESTSINDICATETHAT,INTHESHORTRUN,INFLATIONANDEXCHANGERATESMATTERFORSHAREPRICEMOVEMENTSINGHANA,HOWEVER,INTERESTRATEANDINFLATIONPROVEVERYSIGNIFICANTINTHELONGRUNKEYWORDSCO
4、INTEGRATION,FOREIGNDIRECTINVESTMENT,INNOVATIONACCOUNTING1INTRODUCTIONTHERELATIONSHIPBETWEENMACROECONOMICFACTORSANDSTOCKMARKETDEVELOPMENTHASDOMINATEDINTHEACADEMICANDPRACTITIONERSLITERATUREOVERTHEPASTDECADESSOMEFUNDAMENTALMACROECONOMICVARIABLESSUCHASEXCHANGERATE,INTERESTRATE,INDUSTRIALPRODUCTIONANDINF
5、LATIONHAVEBEENARGUEDTOBETHEDETERMINANTSOFSTOCKPRICESITISBELIEVEDTHATGOVERNMENTFINANCIALPOLICIESANDMACROECONOMICEVENTSHAVELARGEINFLUENCEONGENERALECONOMICACTIVITIESINCLUDINGTHESTOCKMARKETTHISHASMOTIVATEDMANYRESEARCHERSTOINVESTIGATETHEDYNAMICRELATIONSHIPBETWEENSTOCKRETURNSANDMACROECONOMICVARIABLESFOREX
6、AMPLE,USINGTHEARBITRAGEPRICINGTHEORYAPTDEVELOPEDBYROSS1976,CHENETAL1986USEDSOMEMACROECONOMICVARIABLESTOEXPLAINSTOCKRETURNSINTHEUSSTOCKMARKETSTHEYSHOWTHATINDUSTRIALPRODUCTION,CHANGESINRISKPREMIUMS,ANDCHANGESINTHETERMSTRUCTUREAREPOSITIVELYRELATEDTOTHEEXPECTEDSTOCKRETURNS,WHILEBOTHTHEANTICIPATEDANDUNAN
7、TICIPATEDINFLATIONRATESNEGATIVELYRELATETOTHEEXPECTEDSTOCKRETURNSOTHERRESEARCHERSWHOSTUDIEDTHERELATIONSHIPBETWEENSTOCKRETURNSANDMACROECONOMICVARIABLESINDEVELOPEDCOUNTRIESSUCHASJAPAN,US,AUSTRALIA,CANADAANDEUROPEANCOUNTRIESSEE,INTERALIA,CHEUNGANDNG,1998MCMILLANANDHUMPE,1997MUKHERJEEANDNAKA,1995KWONANDS
8、HIN,1999ANDMAYSAMIANDKOH,2000EMPLOYCOINTEGRATIONINSPITEOFTHEINCREASINGMIGRATIONOFCAPITALFROMDEVELOPEDTOEMERGINGECONOMIESANDITSASSOCIATEDHIGHRETURNSSEEUSHADETAL,2008OSINUBI,2004,EMERGINGSTOCKMARKETSHAVENOTBEENWELLEXPLOREDIN2006FOREXAMPLE,FOREIGNEQUITYACCOUNTEDFOR753OFTHEEQUITYFINANCERECORDEDINGHANACO
9、MPAREDTO299IN2001ACCORDINGTOTHEDECEMBER,2007QUARTERLYREPORTOFTHEGHANAINVESTMENTPROMOTIONCENTREGIPCTHEOBJECTIVEOFTHEPRESENTSTUDYISTOCONTRIBUTETOTHEEXISTINGLITERATUREBYEXAMININGTHEEFFECTSOFMACROECONOMICVARIABLESONTHEMOVEMENTOFGHANASTOCKMARKETPROXYBYDATABANKSTOCKINDEXDSIOURRESULTSINDICATETHATSTOCKPRICE
10、SINGHANAISCONSISTENTLYINFLUENCEDBYCHANGESINMACROECONOMICVARIABLESCONSISTENTWITHTHEFINDINGSOFSTUDIESINDEVELOPEDANDEMERGINGMARKETSLIKETHEUS,JAPAN,UK,MALAYSIA,NEWZEALANDANDKOREA2STOCKRETURNSANDMACROECONOMICVARIABLESLITERATUREREVIEWPROBABLYTHERELATIONSHIPBETWEENSTOCKPRICESANDMACROECONOMICVARIABLESISWELL
11、ILLUSTRATEDBYTHEDIVIDENDDISCOUNTMODELDDMPROPOSEDBYMILLERANDMODIGLIANI1961THANANYOTHERTHEORETICALSTOCKVALUATIONMODELACCORDINGTOTHEMODELTHECURRENTPRICEOFANEQUITYSHAREEQUALSTHEPRESENTVALUEOFALLFUTURECASHFLOWSTOTHESHARETHUS,THEDETERMINANTSOFSHAREPRICESARETHEREQUIREDRATEOFRETURNANDEXPECTEDCASHFLOWSSEEOYA
12、MA,1997GANETAL2006HUMPEANDMCMILLAN,2007LEIBOWITZ,SORENSEN,ARNOTTANDHANSEN,1989ANDTESSAROMATIS,2003SUGGESTINGTHATECONOMICFACTORSTHATINFLUENCETHEEXPECTEDFUTURECASHFLOWANDREQUIREDRATEOFRETURNAFFECTTHESHAREPRICEFAMAANDGIBBON1982FINDTHATEXPECTEDREALRETURNSONBILLSANDEXPECTEDINFLATIONRATESAREINVERSELYRELAT
13、EDTHISISDUETOTHEPOSITIVECORRELATIONBETWEENEXPECTEDREALRETURNSONFINANCIALASSETSANDREALACTIVITYUSINGTHEMULTIFACTORAPTFRAMEWORK,HAMAO1988SHOWSTHATINFLATIONSIGNIFICANTLYINFLUENCEDJAPANESESTOCKRETURNSANINVESTIGATIONOFTHERELATIONSHIPSBETWEENSTOCKPRICESANDREALACTIVITY,INFLATION,ANDMONEYCONDUCTEDBYFAMAIN198
14、1SHOWSASTRONGPOSITIVECORRELATIONBETWEENCOMMONSTOCKRETURNSANDREALVARIABLESKANEKOANDLEE1995ANDLEE1992FINDSIMILARRESULTSBYEXAMININGTHERELATIONSHIPBETWEENINFLATIONANDSTOCKPRICESIN16INDUSTRIALIZEDCOUNTRIES,RAPACH2002AGUESTHATINCREASEININFLATIONDOESNOTRESULTINPERSISTENTDEPRECIATIONOFSHAREREALVALUETHEEXCHA
15、NGERATEWHICHINDICATESTHEMOVEMENTOFCURRENCYAFFECTSSTOCKPRICESINAWAYSIMILARTOTHEINFLATIONVARIABLEDEPRECIATIONOFTHELOCALCURRENCYMAKESIMPORTEXPENSIVECOMPAREDTOEXPORT,LEADINGTOINCREASEDPRODUCTIONCOSTOFIMPORTCOMPANIESSINCEALLTHECOSTCANNOTBEPASSEDONTOTHECONSUMERDUETOTHECOMPETITIVENESSOFTHEMARKET,CORPORATEE
16、ARNINGS,WHICHAREADETERMINANTOFSTOCKPRICESACCORDINGTOTHEDDM,FALLALTHOUGHSOLNIK1987PROVEDTHATEXCHANGERATEISANONSIGNIFICANTFACTORINEXPLAININGDEVELOPMENTOFSTOCKPRICES,JORION1990FINDSSOMERELATIONSHIPBETWEENSTOCKRETURNSOFUSMULTINATIONALCOMPANIESANDTHEEFFECTIVEUSDOLLAREXCHANGERATEFORTHEPERIOD197187AGGARWAL
17、1981ALSOFINDSAPOSITIVERELATIONSHIPBETWEENREVALUATIONOFTHEUSDOLLARANDSTOCKPRICESMUKHERJEEANDNAKA1995ALSOFINDTHATEXCHANGERATEPOSITIVELYRELATESTOSTOCKPRICESINJAPANANDINDONESIAONTHECONTRARY,SOENENANDHENNIGAR1988REPORTEDTHATUSDOLLAREFFECTIVEEXCHANGERATENEGATIVELYAFFECTUSSTOCKMARKETINDEXDURING198086ADLERA
18、NDDUMAS1984ARGUETHATEVENFIRMSWHOSEENTIREOPERATIONSAREDOMESTICMAYBEAFFECTEDBYEXCHANGERATES,IFTHEIRINPUTANDOUTPUTPRICESAREINFLUENCEDBYCURRENCYMOVEMENTSOTHERSTUDIESHAVEARGUEDTHATDEPRECIATIONOFTHELOCALCURRENCYINCREASESEXPORT,ANDHENCESTOCKPRICESLUEHERMAN1991FINDSTHATALTHOUGHEXCHANGERATEMOVEMENTSAFFECTSTO
19、CKPRICESDEPRECIATIONOFTHELOCALCURRENCYDOESNOTCONSTITUTECOMPETITIVEADVANTAGEFORHOMECOMPANIESASARGUEDACCORDINGTOTHEDDM,REQUIREDRATEOFRETURNANDTHESHAREPRICEAREINVERSELYRELATEDGANETAL2006AGUETHATOPPORTUNITYCOSTSOFHOLDINGCASHRISESWITHINCREASEININTERESTRATE,ANDTHETRADEOFFTOHOLDINGOTHERINTERESTBEARINGSECUR
20、ITIESWOULDLEADTOADECREASEINSHAREPRICETHEORETICALLY,FRENCHETAL1987FINDNEGATIVERELATIONSHIPBETWEENSTOCKRETURNSANDBOTHTHELONGTERMANDSHORTTERMINTERESTRATESFURTHERMORE,POSITIVECORRELATIONAMONGPREVIOUSMONTHSUSSTOCKPRICE,MONEYSUPPLY,FEDERALDEBT,TAXEXEMPTGOVERNMENTDEBT,LONGTERMUNEMPLOYMENT,THEBROADMONEYSUPP
21、LYANDTHEFEDERALWEREDOCUMENTEDBYBULMASHANDTRIVOLI1991ONTHEOTHERHAND,THESAMESTUDYESTABLISHEDANEGATIVERELATIONSHIPBETWEENSTOCKPRICESANDTHETREASURYBILLRATEASCLAIMEDBYALAGIDEDE2008,THERISKPERCEPTIONSREMAINSANOBSTACLETOINCREASEDACCESSTOCAPITALMARKETSINAFRICA,ANDHAVESETAPARTSTOCKMARKETSFROMOTHERREGIONSDUET
22、OTHEIRSMALLSIZEANDHIGHLYILLIQUIDNATURETHESENEGATIVEEFFECTSTHATMARREDEMERGINGSTOCKMARKETARELIKELYTOREDUCEIFOPENTOFOREIGNINVESTORSFOREXAMPLE,LARGEINVESTMENTINFLOWSTOSOUTHEASTEUROPESEESUPPORTEDTHEECONOMICGROWTHRATESANDPUSHEDUPSTOCKPRICESATTHEMAJOREQUITYMARKETSINTHEREGIONSEEINVESTMENTGUIDE,2006OYAMA1997
23、POINTEDOUTTHATTHERISKPREMIUMFORVENEZUELASTOCKMARKET,JORDANANDPAKISTANDECLINEDSHARPLYBETWEEN1990AND1992FOLLOWINGLIBERALIZATIONOFSTOCKINVESTMENTBYFOREIGNERSIN1990,ANDINCREASEOFTHEAMOUNTOFHOMECURRENCYANDFOREIGNEXCHANGETHATCOULDBETAKENABROADBYRESIDENTSANDNONRESIDENTS3GHANASTOCKEXCHANGETHEIDEAOFESTABLISH
24、INGASTOCKEXCHANGEINGHANA,WHICHLEDTOTHEPROMULGATIONOFTHESTOCKMARKETACTOF1971TOLAYTHEFOUNDATIONFORTHEESTABLISHMENTOFTHEACCRASTOCKMARKETLIMITEDASMLINTHESAMEYEAR,DATESBACKTO1968UNFAVOURABLEMACROECONOMICENVIRONMENT,POLITICALINSTABILITYANDLACKOFGOVERNMENTSUPPORTUNDERMINEDTHETAKEOFFOFTHEMARKETUNDERTHESURVE
25、ILLANCEOFTHEINTERNATIONALMONETARYFUNDANDTHEWORLDBANK,GHANAUNDERWENTSTRUCTURALREFORMSIN1983TODEALWITHDISTORTIONSINTHEECONOMYTOGETHERWITHOTHERFINANCIALREFORMSTHISLEDTOTHEDEREGULATIONOFINTERESTRATES,REMOVALOFCREDITCONTROLS,FLOATINGOFEXCHANGERATESANDMANYOTHERSAFTERTHEFINANCIALLIBERALIZATIONANDTHEDIVESTI
26、TUREOFAHOSTOFSTATEOWNEDENTERPRISETHENEEDFORSTOCKMARKETINGHANABECAMEUNAVOIDABLE40DATAANDMETHODOLOGY41DATASELECTIONJUSTIFICATIONANDHYPOTHESISINTHISSECTIONWEJUSTIFYTHESELECTIONOFTHEVARIABLESUSEDFORTHEANALYSISINTHISSTUDYDATABANKSTOCKINDEXTHISVARIABLEWHICHSERVESASTHEDEPENDENTVARIABLEINOURANALYSISCAPTURES
27、THEPERFORMANCEOFTHEMARKETANDITISTHEDEPENDENTVARIABLEINOURREGRESSIONANALYSISITISTHEFIRSTEVERINDEXCOMPUTEDBYDATABANKGROUPITSSELECTIONISMOTIVATEDBYDATAAVAILABILITYINFLATIONHIGHRATESOFINFLATIONINCREASETHECOSTOFLIVINGANDASHIFTOFRESOURCESFROMINVESTMENTSTOCONSUMPTIONTHISLEADSTOAFALLINTHEDEMANDFORMARKETINST
28、RUMENTSANDSUBSEQUENTLYLEADSTOAREDUCTIONINTHEVOLUMEOFSTOCKTRADEDALSOTHEMONETARYPOLICYRESPONDSTOTHEINCREASEINTHERATEOFINFLATIONWITHECONOMICTIGHTENINGPOLICIES,WHICHINTURNINCREASESTHENOMINALRISKFREERATEANDHENCERAISESTHEDISCOUNTRATEINTHEVALUATIONMODELDEFINA1991ARGUESTHATNOMINALCONTRACTSTHATDISALLOWTHEIMM
29、EDIATEADJUSTMENTOFTHEFIRMSREVENUESANDCOSTSPREVENTCASHFLOWTOGROWATTHESAMERATEASINFLATIONWETHEREFOREEXPECTNEGATIVERELATIONSHIPBETWEENINFLATIONANDSTOCKMARKETEXCHANGERATEGHANASIMPORTSECTORDOMINATESTHEEXPORTSECTORTHEREFOREDEPRECIATIONOFTHEGHANACEDIWILLLEADTOANINCREASEINPRICESOFPRODUCTIONANDTHEREBYREDUCIN
30、GCASHFLOWSTOTHEIMPORTDOMINATEDCOMPANIESREPATRIATIONOFEARNINGWILLALSOBERELATIVELYUNATTRACTIVETOFOREIGNPORTFOLIOINVESTORSWHOPLAYAMAJORROLEONTHEGSEWEHYPOTHESIZENEGATIVEIMPACTONTHEPERFORMANCEOFDSIINTERESTRATETHERELATIONSHIPBETWEENINTERESTRATESANDSTOCKPRICESISWELLESTABLISHEDANINCREASEININTERESTRATEWILLIN
31、CREASETHEOPPORTUNITYCOSTOFHOLDINGMONEYANDINVESTORSSUBSTITUTEHOLDINGINTERESTBEARINGSECURITIESFORSHAREHENCEFALLINGSTOCKPRICESTHETREASURYBILLRATEISUSEDASAMEASUREOFINTERESTRATEINTHISSTUDYBECAUSEINVESTINGINTREASURYBILLISSEENASOPPORTUNITYCOSTFORHOLDINGSHARESHIGHTREASURYBILLRATESENCOURAGEINVESTORSTOPURCHAS
32、EMOREGOVERNMENTINSTRUMENTSTREASURYBILLSTHUSTENDTOCOMPETEWITHSTOCKSANDBONDSFORTHERESOURCESOFINVESTORSTHEEXPECTEDRELATIONSHIPBETWEENSTOCKPRICESANDTREASURYBILLRATESISTHUSNEGATIVENETFOREIGNDIRECTINVESTMENTFOREIGNCAPITALINFLOWSCANMAKESIGNIFICANTCONTRIBUTIONSTOTHEHOSTCOUNTRYSECONOMICGROWTHANDDEVELOPMENTBY
33、LESSENINGANDCUSHIONINGSHOCKSRESULTINGFROMLOWDOMESTICSAVINGANDINVESTMENTINCREASEINNETFDITHEREFOREHASPOSITIVEEFFECTONTHELIQUIDITYANDSIZEOFTHEGSEFOREIGNEQUITYFINANCEACCOUNTFOROVER70OFTOTALEQUITYINVESTMENTSIN2006ITISBELIEVEDTHATTHEINCREASEINMARKETCAPITALIZATIONOFGSEFROM198OFGDPIN1993TO3437OFGDPIN1994FOL
34、LOWEDTHEEXCHANGETOFOREIGNERSANDNONRESIDENTGHANAIANIN1993OVERTHESAMEPERIOD,ANINCREASEINNETFDIFROM210OFGDPTO428OFGDPWASRECORDEDWETHEREFOREHYPOTHESIZEAPOSITIVERELATIONSHIPBETWEENNETFDIANDTHEEXCHANGEASMENTIONEDEARLIER,WHENAGCWASFIRSTLISTEDONGSEIN1994ITACCOUNTEDFORABOUT90OFTHETOTALMARKETCAPITALIZATIONTHI
35、SCHANGEDTHEFACEOFTHEEXCHANGEANDATTRACTEDMANYFOREIGNINVESTORSTHEREFOREITISREASONABLETODISCUSSITSEXPECTEDINFLUENCEONFUNDAMENTALMARKETATTRIBUTESSUCHASLIQUIDITY,VOLATILITYANDTURNOVERFOLLOWINGTHIS,WEINCLUDEADUMMYTOACCOUNTFORTHESTRUCTURALEFFECTOFTHELISTING,ANDASSIGN0AND1RESPECTIVELYTOTHEPERIODBEFOREANDAFT
36、ERTHELISTINGOFAGCONTHEEXCHANGE5CONCLUSIONINTHISSTUDYWEEXAMINETHEROLEOFMACROECONOMICVARIABLESINSTOCKMARKETMOVEMENTFORTHEPERIOD19911TO200612WECONSIDEREDTHEDATABANKSTOCKINDEX,INTERESTRATE,INFLATION,NETFOREIGNDIRECTINVESTMENTANDEXCHANGERATEWEEXPLOREDTHELONGRUNRELATIONSHIPBETWEENTHEVARIABLESUSINGJOHANSEN
37、SMULTIVARIATECOINTEGRATIONTESTSSHORTRUNDYNAMICSWERETRACEDBYMEANSOFIMPULSERESPONSEFUNCTIONANDFORECASTERRORVARIANCEDECOMPOSITIONANALYSISTHECOINTEGRATIONANALYSISPROVIDESEVIDENCEINSUPPORTOFALONGRUNRELATIONSHIPBETWEENVARIABLESOVERTHETIMEHORIZONCONTRARYTOOURHYPOTHESIS,WEFINDINFLATIONTOPOSITIVELYRELATETODS
38、I,WHICHIMPLIESTHATCONSISTENTWITHTHEFINDINGOFFIRTH1979,ANARIANDKOLARI2001,LUINTELANDPAUDYAL2006,ANDGULTEKIN1983THESTOCKMARKETPARTLYORFULLYPROVIDESAHEDGEAGAINSTINFLATIONTHEFEVDINDICATESTHATINTERESTRATEANDEXCHANGERATESEXPLAINSMALLPROPORTIONOFTHEVARIATIONOFTHESHAREPRICESINTHEFIRSTQUARTERCOMPAREDTOINFLAT
39、IONRATEANDNETFDIINFLOWTHISMEANSTHATTHEELIMINATIONOFTHE10LIMITPLACEDONNONRESIDENTFOREIGNINVESTORSHOLDINGSINSECURITIESLISTEDONGSEAND74LIMITONHOLDINGSOFALLNONRESIDENTFOREIGNINVESTORSINANYLISTEDSECURITYUNDERTHEFOREIGNEXCHANGEACTOF2006ACT723ISAPOSITIVESIGNALTOBOOSTINVESTMENTSINTHESTOCKMARKETBASEDONTHERES
40、ULTS,WERECOMMENDTHATPOTENTIALINVESTORSPAYMOREATTENTIONTOINFLATIONANDEXCHANGERATEDYNAMICSFOLLOWEDBYNETFDIINFLOWRATHERTHANINTERESTRATEHOWEVER,INTHELONGRUNATTENTIONSHOULDBEONINTERESTRATEANDINFLATIONRATES外文题目MACROECONOMICFACTORSANDSTOCKMARKETMOVEMENTEVIDENCEFROMGHANA出处SCHOOLOFMANAGEMENT,UNIVERSITYOFLEIC
41、ESTER,UK作者ADAM,ANOKYEMANDTWENEBOAH,GEORGE译文宏观经济因素与股市的运动来自加纳的证据本研究考察了在加纳的股票价格受到总体经济变量波动的影响。我们采用JOHANSEN的多变量协整检验和计量统计分析方法，选取从1991年1月到2006年4月的样本数据，分析股票价格指数与宏观经济变量（包括外国直接投资，国库券利率，消费者物价指数和汇率）之间的长期和短期动态关系。利用加纳的变量数据，我们发现宏观经济变量和股票价格之间存在协整关系，表明存在长期均衡关系。进一步的分析表明，短期内，通货膨胀、汇率与股价走势存在相关关系。而且，利率和通货膨胀在长期走势中更加的显著。关键
42、词协整，外商直接投资，计量统计分析方法1、简介在过去的几十年，宏观经济因素和股票市场发展之间的关系研究，在学术界占据了主导地位，一些基本的宏观经济变量如汇率，利率，工业生产和通货膨胀，被认为是股票价格的决定因素。一般认为，政府的财政政策和宏观经济事件对整体经济活动影响较大（股票市场），这促使许多研究人员分析股票收益率与宏观经济变量之间的动态关系。例如，利用套利定价理论（APT）ROSS1976,CHEN（1986）用一些宏观经济变量来解释美国股市股票收益率，研究表明工业生产总值，风险溢价，期限结构和预期股票收益呈现正相关，然而预期和未预期通货膨胀率与股票收益率呈现负相关。其他研究人员（1998
43、MCMILLAN和HUMPE，1997MUKHERJEEANDNAKA，1995MUKHERJEEANDNAKA，1999和MAYSAMI和KOH，2000）采用协整分析，研究了如日本，美国，澳大利亚，加拿大和欧洲国家等发达国家的股票收益率和宏观经济变量之间的关系。虽然越来越多的资本从发达国家向新兴经济体转移并且取得了较高回报（见USHAD等，2008OSINUBI，2004年），但是新兴股票市场没有得到很好的发展。2007年加纳投资促进中心的季度报告（GIPC）指出，例如在2006年，外国资本占加纳股权融资的753，然而在2001年12月只有299。本研究的目的是检验宏观经济变量对于加纳股市
44、走势DSI的影响，促进现有文献的进一步发展，我们的研究结果表明，在加纳的股票价格始终受到宏观经济变量的影响，符合在发达国家和新兴市场研究结果，例如美国，日本，英国，马来西亚，新西兰和韩国。2、股票收益率与宏观经济变量文献综述也许由MILLER和MODIGLIANI（1961）提出的股息贴现模型，比任何其他的股票估值理论模型更好的说明了股票价格与宏观经济变量之间的关系。根据该模型，当前的股票价格等于股票的所有未来现金流量现值的总和。因此，股票价格的决定因素是必要收益率和预期现金流量（见OYAMA,1997GAN等人2006HUMPE和MCMILLAN，2007LEIBOWITZ,SORENSEN
45、,ARNOTT和HANSEN,1989和TESSAROMATIS,2003），这表明宏观经济影响因素如预计未来现金流和要求回报率都能影响股价。FAMA和GIBBON（1982）发现，预期收益与预期通货膨胀率呈负相关，这是由于金融资产和实体经济活动的预期回报存在正相关。使用APT多因素分析，HAMAO（1988）发现，通货膨胀显著影响日本股市的回报。FAMA在1981年进行的关于股票价格与实体经济活动，通货膨胀和货币的关系的研究中，发现普通股的收益和实际变量显示出明显的正相关关系。KANEKOANDLEE1995ANDLEE1992发现类似的结果。RAPACH2002通过在16个工业化国家的数据
46、，研究通货膨胀率和股票价格之间的关系，发现通货膨胀的上升不会使得股票的实际价值持续贬值。汇率表明货币的流动影响股票价格，类似与通货膨胀对股票价格的影响。相比出口，当地货币贬值使得进口变得昂贵，从而提高进口企业的生产成本。因为市场竞争性，所有的费用不能转嫁到消费者身上，企业盈利减少，导致股票价格下降。虽然SOLNIK（1987）证明，汇率在解释股票价格时是一个非重要影响因素。JORION（1990）发现在1971年至1987年期间美国跨国公司的股票收益和有效美元汇率存在着相互关系。AGGARWAL（1981）还发现美元升值和股票价格之间的一个积极的关系。MUKHERJEE和NAKA（1995）在
47、日本和印尼也发现汇率和股票价格呈现正相关。相反，SOENENANDHENNIGAR（1988）报告说，1980年至1986年美元有效汇率与美国股价指数呈现负相关。ADLERANDDUMAS（1984）认为，如果企业的投入和产出价格是受汇率变动的影响，即使他们所有的生产都在国内也可能受到汇率的影响。其他研究也认为当地货币贬值增加出口，同样股票价格上升。LUEHERMAN（1991）发现，虽然汇率变动影响股票价格，当地货币贬值并不持续保持国内企业的竞争优势。根据DDM发现，必要收益率和股价成反比关系。GAN等人（2006）发现利率上升增加现金持有的机会成本上升，会导致股票价格下跌。从理论上讲，FR
48、ENCHETAL（1987）发现股票收益率和长期及短期利率双方之间呈现负相关关系。此外，BULMASHANDTRIVOLI（1991）发现上月间美国股票价格，货币供应量，联邦债务，免税政府债券，长期失业呈正相关。另一方面，同样的研究发现了股票价格与国库券利率的负相关关系。正如ALAGIDEDE（2008）声称，风险观念仍然是对非洲资本市场的访问的障碍，而其他有些股票市场存在资本市场小，高度不流通的状况。如果资本市场对外国投资者开放，新兴股票市场的这些负面障碍应该会逐渐减少。例如，大型投资流入SEE推动了经济增长速度和推高了该地区主要股市股票价格，（见投资指南，2006）。OYAMA（1997）
49、介绍，委内瑞拉股市存在风险溢价，1990年后放开了外国投资者对股票的投资，1990年至1992年约旦和巴基斯坦股市的大幅下降情况，可通过在国外居民和非居民增加本国货币和外汇储备。3、加纳证券交易所在加纳建立证券交易所的想法可以追溯到1968年，1971年颁布了股票市场法，为在同一年成立的阿克拉股票市场有限公司（ASML）打下了基础。不利的宏观经济环境，不稳定的政治和缺乏政府的支持削弱了市场的有效性。根据国际货币基金和世界银行的监测，1983年，加纳进行结构改革处理经济不平衡，例如利率的放松管制、取消信贷管制，汇率浮动等其他的措施。加纳股票市场在金融自由化后，国有企业资产的剥离已经不可避免。4、数据选择的理由和假设在本节中，我们对宏观经济变量进行选择，以便更好的用于研究。股票指数这个变量体现了股票市场的好坏，作为我们这次分析中的因变量，而且它也是我们回归分析中的因变量，根据数据的可用性对样本数据进行选择。通货膨胀高通货膨胀率上升使得生活费用上升，资源从投资转移到消费。这导致了市场工具的需求减少，随后导致了股票的交易量减少。此外，通胀率上升伴随着了货币紧缩政策的出台，反过来增加了名义无风险利率，从而提高了估价模型中的折现率。DEFINA（1991）认为，协议合同无法立即调整该公司的收入和成本，使得现金流的增长速度与通货膨胀的增长速度一致，因此，我们预计通货膨胀和股市负
