Research Article
A Study of the Effect of Inflation and Exchange Rate on Stock Market Returns in Ghana
Table 1
Augmented Dickey-Fuller (ADF) unit root test for the monthly rates of inflation, exchange rate (dollar rate), and GSE market returns.
| Variable | Model type | Test statistic | Critical value | value |
| Inflation rate | Constant | −1.545 | −2.879 | 0.508 | Constant + trend | −2.523 | −3.437 | 0.317 | None | −0.712 | −1.943 | 0.407 |
| Exchange rate (dollar rate) | Constant | 0.658 | −2.879 | 0.991 | Constant + trend | −0.868 | −3.437 | 0.956 | None | 3.003 | −1.943 | 0.999 |
| Stock returns | Constant | −11.604 | −2.879 | 0.001 | Constant + trend | −11.677 | −3.437 | 0.001 | None | −11.385 | −1.943 | 0.001 |
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