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Title: The relationship between stock market returns and inflation : new evidence from Sub-Saharan Africa
Author: Mpofu, Bekithemba
ISNI:       0000 0004 2719 7421
Awarding Body: University of St Andrews
Current Institution: University of St Andrews
Date of Award: 2010
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The literature investigating the relationship between stock market returns and inflation is long and has produced diverse findings. This thesis examines the nature of stock–inflation relations in Sub-Saharan countries whose stock markets were established before 1992. Evidence in this thesis shows that in the short term there is a positive relationship between stocks and inflation. Using the Johansen (1988) evidence, a long-run stock–inflation relationship is confirmed only in Nigeria and South Africa, where it is found to be negative. However, accounting for structural breaks provides evidence for a long-run relationship in Botswana, Ghana and Kenya. The evidence of the effects of regimes in the relationship is further supported by a nonparametric cointegration analysis which finds a long-run relation in countries where the Johansen (1988) method had failed. Unexpected inflation is also found to be related to stock returns in Botswana, Ghana, Kenya, Nigeria and Mauritius, which raises concerns about the use of month-end stock data in analysing this relationship. The thesis confirms the existence of hidden inflation in Kenya, Mauritius, Nigeria and Zimbabwe. Imported inflation, interest rates and the exchange rate are found to have useful information about inflation movements in Sub-Saharan Africa.
Supervisor: McMillan, David G. Sponsor: University of St Andrews. School of Management
Qualification Name: Thesis (Ph.D.) Qualification Level: Doctoral
EThOS ID:  DOI: Not available
Keywords: Inflation ; Stock market returns ; Hidden inflation ; Inflation forecasting ; Non-parametric cointegration ; Sub-Sahara Africa ; HG5823.M7 ; Stock exchanges--Africa ; Sub-Saharan ; Inflation (Finance)--Africa ; Sub-Saharan ; Stocks--Rate of return--Effect of inflation on--Africa ; Sub-Saharan ; Stocks--Prices--Effect of inflation on--Africa ; Sub-Saharan