Stock Returns and Exchange Rate Nexus in Ghana: A Bayesian Quantile Regression Approach

This paper presents analysis of the relationship and dependence structure between stock returns and exchange rates in G hana using data of daily periodicity from J anuary 4, 2011 to J uly 31, 2014. Analyses are conducted by means of B ayesian quantile regression ( QR ) technique and multiple causality tests. Our findings suggest high dependence of the equity market on the foreign exchange market in G hana, and that the link between the two markets follows the international trade‐oriented model more than the portfolio balance theory. We report that among the six exchange rates used, only the cedi–dollar registers instantaneous effect on the equity market.