Impact of Exchange Rate Threshold Level on Stock Market Performance-Evidence from Ghana (original) (raw)

Journal of Business Administration Research

Abstract

Exchange rate plays a vital role in an economy and the purpose of this study is to investigate the impact of exchange rate threshold level on the capital market performance. The study employed a Threshold Autoregressive model introduced by Tong (1978) and Hansen (1996). The study used secondary quarter-time series data for thirty-years from 1990 to 2019. The capital market performance was measured by the value of shares traded; market turnover; market capitalization and all-shares index. However, the results revealed the following estimated threshold level of exchange rate for each performance indicator: 7.94%; 25.33%; 25.33% and 7.80% respectively. In all, the threshold level of the exchange rate estimated was 8 and 25 per cent. The findings suggest that low exchange rate is performance-enhancing. In addition, the exchange rate above the threshold level is detrimental to the capital market performance. The findings of this investigation might be helpful to the government of Ghana a...

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