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