Research Article
A Study of the Effect of Inflation and Exchange Rate on Stock Market Returns in Ghana
Table 6
R output for ARFIMA results.
(a) Returns |
| | | | | | Estimate | Std. error | value | Pr(> |
| H | 0.95008698 | 0.09652219 | 9.84320 | | AR | 0.67345045 | 0.08513683 | 7.91021 | | MA | 0.29096113 | 0.04087322 | 7.11863 | | <==> d | |
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(b) Exchange rate |
| | | | | | Estimate | Std. error | value | Pr(>) |
| H | 0.47319146 | 0.19269526 | 2.45565 | 0.014063 | AR | 0.95114946 | 0.05114190 | 18.59824 | | MA | 0.03672574 | 0.16671603 | 0.22029 | 0.825646 | <==> d | |
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(c) Inflation |
| | | | | | Estimate | Std. error | value | Pr(>) |
| H | 0.9390391 | 0.3974410 | 2.36271 | 0.018142 | AR | 0.8831309 | 0.1509314 | 5.85121 | | MA | –0.1793681 | 0.2727286 | −0.65768 | 0.510744 | <==> d | |
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