RESUMEN
This paper presents the first comparative study of emerging stock markets' response to the COVID-19 pandemic with evidence from Ghana and Botswana. Using daily time-series data from March 1, 2020, to September 30, 2021, the study estimates parametric, semi-parametric and non-parametric models, and provides evidence to support the negative effects of the COVID-19 pandemic (i.e., the total number of reported COVID-19 cases and deaths) on the stock market performances of Ghana and Botswana. Interestingly, the study shows that the impact of the pandemic on Ghana's stock market is quantitatively greater than the stock market of Botswana. The study calls for fiscal and monetary policies to help firms on the stock market to survive the shock. Going forward, measures aimed at building a robust stock market to withstand such external shocks are critical.
RESUMEN
This paper was aimed at investigating the volatility and conditional relationship among inflation rates, exchange rates and interest rates as well as to construct a model using multivariate GARCH DCC and BEKK models using Ghana data from January 1990 to December 2013. The study revealed that the cumulative depreciation of the cedi to the US dollar from 1990 to 2013 is 7,010.2% and the yearly weighted depreciation of the cedi to the US dollar for the period is 20.4%. There was evidence that, the fact that inflation rate was stable, does not mean that exchange rates and interest rates are expected to be stable. Rather, when the cedi performs well on the forex, inflation rates and interest rates react positively and become stable in the long run. The BEKK model is robust to modelling and forecasting volatility of inflation rates, exchange rates and interest rates. The DCC model is robust to model the conditional and unconditional correlation among inflation rates, exchange rates and interest rates. The BEKK model, which forecasted high exchange rate volatility for the year 2014, is very robust for modelling the exchange rates in Ghana. The mean equation of the DCC model is also robust to forecast inflation rates in Ghana.