Investor Attention and Equity as a Hedge against Inflation in Ghana ()
ABSTRACT
The flow of relevant market information for investment decision making has increased due to increase
in access. Investors are, however, time-constrained in effort and cognitive resources to process market information. The
basic capital asset pricing model based on the efficient market hypothesis
assumes that all market information on securities is incorporated into prices
instantaneously. However, the situation is different in real-life situations
because, in some cases, some investors possess little information about the
market. This study examined the effect of active investor attention (Google
Search Volume) and inflation on Ghana’s stock market returns for the period
September 2005-December 2019 (monthly data). Through co-integration
and the VECM technique, we established a long-run relationship among the
variables. The study also found a positive and significant relationship between
active investor attention (Google Search Volume), inflation, and equity returns
in Ghana. The results from the VECM are further confirmed by ARCH and GARCH
models as a robustness check. The findings demonstrate that in Ghana, equity
serves as a hedge against inflation.
Share and Cite:
Sanogo, B. and Asiedu, M. (2022) Investor Attention and Equity as a Hedge against Inflation in Ghana.
Journal of Financial Risk Management,
11, 579-600. doi:
10.4236/jfrm.2022.113027.
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