The University of St Andrews

Research@StAndrews:FullText >
Management (School of ) >
Management >
Management Theses >

Please use this identifier to cite or link to this item:
This item has been viewed 68 times in the last year. View Statistics

Files in This Item:

File Description SizeFormat
BekithembaMpofuPhDThesis.PDF4.02 MBAdobe PDFView/Open
Title: The relationship between stock market returns and inflation : new evidence from Sub-Saharan Africa
Authors: Mpofu, Bekithemba
Supervisors: McMillan, David G.
Keywords: Inflation
Stock market returns
Hidden inflation
Inflation forecasting
Non-parametric cointegration
Sub-Sahara Africa
Issue Date: 24-Jun-2010
Abstract: The literature investigating the relationship between stock market returns and inflation is long and has produced diverse findings. This thesis examines the nature of stock–inflation relations in Sub-Saharan countries whose stock markets were established before 1992. Evidence in this thesis shows that in the short term there is a positive relationship between stocks and inflation. Using the Johansen (1988) evidence, a long-run stock–inflation relationship is confirmed only in Nigeria and South Africa, where it is found to be negative. However, accounting for structural breaks provides evidence for a long-run relationship in Botswana, Ghana and Kenya. The evidence of the effects of regimes in the relationship is further supported by a nonparametric cointegration analysis which finds a long-run relation in countries where the Johansen (1988) method had failed. Unexpected inflation is also found to be related to stock returns in Botswana, Ghana, Kenya, Nigeria and Mauritius, which raises concerns about the use of month-end stock data in analysing this relationship. The thesis confirms the existence of hidden inflation in Kenya, Mauritius, Nigeria and Zimbabwe. Imported inflation, interest rates and the exchange rate are found to have useful information about inflation movements in Sub-Saharan Africa.
Type: Thesis
Publisher: University of St Andrews
Appears in Collections:Management Theses

This item is protected by original copyright

This item is licensed under a Creative Commons License
Creative Commons

Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.


DSpace Software Copyright © 2002-2012  Duraspace - Feedback
For help contact: | Copyright for this page belongs to St Andrews University Library | Terms and Conditions (Cookies)