Foreign exchange rate volatility and firm value: evidence from Ghana
by Seth Baffoe-Kodom; Kingsley Opoku Appiah; Lawrence Adu Asamoah
International Journal of Management Practice (IJMP), Vol. 9, No. 2, 2016

Abstract: The study examines the exchange rate volatility and value of firms listed on Ghana Stock Exchange. We employ nominal exchange rate figures and stock prices of 30 firms listed on Ghana Stock Exchange. We use Augmented Dickey Fuller Unit Root, Vector Error Correction Model and General Autoregressive Conditional Heteroskedasticity (GARCH) for the analysis. We find relationship between exchange rate volatility and share prices. Six of our sample firms exhibit negative relationship between exchange rate volatility and share prices. The results further reveal the existence of a short-run relationship between the stock prices and volatility in the exchange rate as well as the direction and speed of adjustment to long-run equilibrium.

Online publication date: Wed, 25-May-2016

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