{"id":"https://openalex.org/W1487326271","doi":"https://doi.org/10.1108/15265940910980641","title":"Macroeconomic uncertainty and conditional stock\u2010price volatility in frontier African markets","display_name":"Macroeconomic uncertainty and conditional stock\u2010price volatility in frontier African markets","publication_year":2009,"publication_date":"2009-07-25","ids":{"openalex":"https://openalex.org/W1487326271","doi":"https://doi.org/10.1108/15265940910980641","mag":"1487326271"},"language":"en","primary_location":{"id":"doi:10.1108/15265940910980641","doi":"https://doi.org/10.1108/15265940910980641","is_oa":false,"landing_page_url":"https://doi.org/10.1108/15265940910980641","pdf_url":null,"source":{"id":"https://openalex.org/S61561007","display_name":"The Journal of Risk Finance","issn_l":"1526-5943","issn":["1526-5943","2331-2947"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-b","anvur-scientific","cwts-core","fnege-4","jufo-1","norway-1","poland-20","russia-white-list-2","vabb-shw"],"host_organization":"https://openalex.org/P4310319811","host_organization_name":"Emerald Publishing Limited","host_organization_lineage":["https://openalex.org/P4310319811"],"host_organization_lineage_names":["Emerald Publishing Limited"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"The Journal of Risk Finance","raw_type":"journal-article"},"volume":null,"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5087852530","display_name":"Charles Adjasi","orcid":"https://orcid.org/0000-0001-6682-5740","observed_orcids":["https://orcid.org/0000-0001-6682-5740"]},"institutions":[{"id":"https://openalex.org/I138690464","display_name":"University of Ghana","ror":"https://ror.org/01r22mr83","country_code":"GH","type":"education","lineage":["https://openalex.org/I138690464"]}],"countries":["GH"],"is_corresponding":true,"raw_author_name":"Charles K.D. Adjasi","raw_affiliation_strings":["Department of Finance, University of Ghana Business School, Accra, Ghana"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Finance, University of Ghana Business School, Accra, Ghana","institution_ids":["https://openalex.org/I138690464"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":["https://openalex.org/A5087852530"],"corresponding_institution_ids":["https://openalex.org/I138690464"],"apc_list":null,"apc_paid":null,"fwci":3.7282,"has_fulltext":false,"cited_by_count":55,"citation_normalized_percentile":{"value":0.93421224,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":89,"max":99},"biblio":{"volume":"10","issue":"4","first_page":"333","last_page":"349"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11059","display_name":"Market Dynamics and Volatility","score":0.8051999807357788,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T11059","display_name":"Market Dynamics and Volatility","score":0.8051999807357788,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.19099999964237213,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.0017000000225380063,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/macroeconomic-uncertainty","display_name":"macroeconomic uncertainty","score":1.0},{"id":"https://openalex.org/keywords/stock-price-volatility","display_name":"stock price volatility","score":0.8700000047683716},{"id":"https://openalex.org/keywords/conditional-volatility","display_name":"conditional variance","score":0.8080000281333923},{"id":"https://openalex.org/keywords/frontier-stock-markets","display_name":"frontier stock markets","score":0.6259999871253967},{"id":"https://openalex.org/keywords/ghana","display_name":"Ghana","score":0.5899999737739563},{"id":"https://openalex.org/keywords/cocoa-prices","display_name":"cocoa prices","score":0.7089999914169312},{"id":"https://openalex.org/keywords/gold-prices","display_name":"gold prices","score":0.925000011920929},{"id":"https://openalex.org/keywords/oil-prices","display_name":"oil prices","score":0.9729999899864197},{"id":"https://openalex.org/keywords/exchange-rate-volatility","display_name":"exchange rate volatility","score":0.652999997138977},{"id":"https://openalex.org/keywords/money-supply","display_name":"money supply","score":0.8700000047683716},{"id":"https://openalex.org/keywords/interest-rates","display_name":"interest rates","score":0.9319999814033508},{"id":"https://openalex.org/keywords/inflation","display_name":"inflation","score":0.7749999761581421},{"id":"https://openalex.org/keywords/commodity-price-shocks","display_name":"commodity price shocks","score":0.9010000228881836},{"id":"https://openalex.org/keywords/egarch","display_name":"EGARCH","score":0.5649999976158142}],"concepts":[{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.8182632923126221},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.6882873773574829},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.6209168434143066},{"id":"https://openalex.org/C117996083","wikidata":"https://www.wikidata.org/wiki/Q5473296","display_name":"Forward volatility","level":4,"score":0.5813575983047485},{"id":"https://openalex.org/C192620184","wikidata":"https://www.wikidata.org/wiki/Q7940002","display_name":"Volatility swap","level":4,"score":0.5484538674354553},{"id":"https://openalex.org/C13290067","wikidata":"https://www.wikidata.org/wiki/Q915788","display_name":"Volatility smile","level":3,"score":0.5336480736732483},{"id":"https://openalex.org/C21430997","wikidata":"https://www.wikidata.org/wiki/Q5159279","display_name":"Conditional variance","level":4,"score":0.4792083203792572},{"id":"https://openalex.org/C44731940","wikidata":"https://www.wikidata.org/wiki/Q7940001","display_name":"Volatility risk premium","level":4,"score":0.47558844089508057},{"id":"https://openalex.org/C24189920","wikidata":"https://www.wikidata.org/wiki/Q1660345","display_name":"Implied volatility","level":3,"score":0.4705548584461212},{"id":"https://openalex.org/C204036174","wikidata":"https://www.wikidata.org/wiki/Q909380","display_name":"Stock (firearms)","level":2,"score":0.44631797075271606},{"id":"https://openalex.org/C85393063","wikidata":"https://www.wikidata.org/wiki/Q596307","display_name":"Stochastic volatility","level":3,"score":0.43024927377700806},{"id":"https://openalex.org/C23922673","wikidata":"https://www.wikidata.org/wiki/Q180752","display_name":"Autoregressive conditional heteroskedasticity","level":3,"score":0.3987758755683899},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.36836177110671997},{"id":"https://openalex.org/C78519656","wikidata":"https://www.wikidata.org/wiki/Q101333","display_name":"Mechanical engineering","level":1,"score":0.0},{"id":"https://openalex.org/C127413603","wikidata":"https://www.wikidata.org/wiki/Q11023","display_name":"Engineering","level":0,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1108/15265940910980641","doi":"https://doi.org/10.1108/15265940910980641","is_oa":false,"landing_page_url":"https://doi.org/10.1108/15265940910980641","pdf_url":null,"source":{"id":"https://openalex.org/S61561007","display_name":"The Journal of Risk Finance","issn_l":"1526-5943","issn":["1526-5943","2331-2947"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-b","anvur-scientific","cwts-core","fnege-4","jufo-1","norway-1","poland-20","russia-white-list-2","vabb-shw"],"host_organization":"https://openalex.org/P4310319811","host_organization_name":"Emerald Publishing Limited","host_organization_lineage":["https://openalex.org/P4310319811"],"host_organization_lineage_names":["Emerald Publishing Limited"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"The Journal of Risk Finance","raw_type":"journal-article"}],"best_oa_location":null,"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":82,"referenced_works":["https://openalex.org/W50790263","https://openalex.org/W93626468","https://openalex.org/W1484159650","https://openalex.org/W1487000023","https://openalex.org/W1490148754","https://openalex.org/W1502810343","https://openalex.org/W1520297715","https://openalex.org/W1522592437","https://openalex.org/W1577566196","https://openalex.org/W1583657264","https://openalex.org/W1605013255","https://openalex.org/W1904273191","https://openalex.org/W1933113571","https://openalex.org/W1939907922","https://openalex.org/W1963980573","https://openalex.org/W1967159293","https://openalex.org/W1967407599","https://openalex.org/W1967490906","https://openalex.org/W1968454720","https://openalex.org/W1975564910","https://openalex.org/W1975994995","https://openalex.org/W1978944940","https://openalex.org/W1979575715","https://openalex.org/W1980807475","https://openalex.org/W1982558172","https://openalex.org/W1984967678","https://openalex.org/W1985541794","https://openalex.org/W1990892678","https://openalex.org/W1991090110","https://openalex.org/W1996231321","https://openalex.org/W1997131643","https://openalex.org/W1998699813","https://openalex.org/W1999814123","https://openalex.org/W2000818357","https://openalex.org/W2005601557","https://openalex.org/W2007785900","https://openalex.org/W2015800048","https://openalex.org/W2018932697","https://openalex.org/W2024215468","https://openalex.org/W2035021579","https://openalex.org/W2044505163","https://openalex.org/W2050159767","https://openalex.org/W2050815857","https://openalex.org/W2052201343","https://openalex.org/W2054477007","https://openalex.org/W2062368320","https://openalex.org/W2064420728","https://openalex.org/W2080708425","https://openalex.org/W2090309296","https://openalex.org/W2091358667","https://openalex.org/W2095239147","https://openalex.org/W2095678191","https://openalex.org/W2103795087","https://openalex.org/W2111187892","https://openalex.org/W2118495469","https://openalex.org/W2119061907","https://openalex.org/W2125259426","https://openalex.org/W2128475248","https://openalex.org/W2134227324","https://openalex.org/W2134247845","https://openalex.org/W2135052744","https://openalex.org/W2138643950","https://openalex.org/W2146287001","https://openalex.org/W2151515283","https://openalex.org/W2157076451","https://openalex.org/W2165100677","https://openalex.org/W2169107902","https://openalex.org/W2170633867","https://openalex.org/W2171868047","https://openalex.org/W2270868013","https://openalex.org/W2301197474","https://openalex.org/W2908676534","https://openalex.org/W2954273515","https://openalex.org/W3022041122","https://openalex.org/W3094392984","https://openalex.org/W3122781888","https://openalex.org/W3123226880","https://openalex.org/W3123289511","https://openalex.org/W3124454571","https://openalex.org/W4242694005","https://openalex.org/W4256599570","https://openalex.org/W4285719527"],"related_works":["https://openalex.org/W7111125957","https://openalex.org/W1935985982","https://openalex.org/W2103810062","https://openalex.org/W2341336147","https://openalex.org/W6888724777","https://openalex.org/W4413115076","https://openalex.org/W3123727732","https://openalex.org/W1520297715","https://openalex.org/W2278517703","https://openalex.org/W6967598512"],"abstract_inverted_index":{"Purpose":[0],"The":[1,20,28,108],"purpose":[2],"of":[3,11,22,74,92,103,122,139,157,165,168,174,181],"this":[4],"paper":[5,144],"is":[6,24,80],"to":[7],"analyse":[8],"the":[9,60,69,83,89,99,104,123,163,172,179],"impact":[10],"macroeconomic":[12,37,75,93,169,183],"uncertainty":[13],"on":[14,77,149,171],"stock\u2010price":[15],"volatility":[16,33,72,113,121,128,138,155,167,173],"in":[17,25,98,114,129],"Ghana.":[18],"Design/methodology/approach":[19],"method":[21],"analysis":[23],"two":[26],"stages.":[27],"first":[29],"stage":[30,71],"estimates":[31],"univariate":[32],"models":[34],"for":[35,44],"each":[36],"variable;":[38],"namely":[39],"consumer":[40],"price":[41,58,189],"index":[42],"(proxy":[43],"inflation),":[45],"exchange":[46],"rate,":[47],"money":[48,135],"supply,":[49],"interest":[50,118],"rates,":[51],"oil":[52,132,186],"price,":[53,55],"gold":[54,130],"and":[56,117,134,160,187],"cocoa":[57,115],"using":[59,82],"exponential":[61],"generalized":[62],"autoregressive":[63],"conditional":[64,100,166],"heteroskedasticity":[65],"(EGARCH)":[66],"model.":[67],"In":[68],"second":[70],"effect":[73,164,180],"variables":[76,94,97,170],"stock":[78,105,124,140,158],"prices":[79,116],"estimated":[81],"most":[84],"recent":[85],"squared":[86],"residuals":[87],"from":[88,146,185],"mean\u2010conditional":[90],"variance":[91,101],"as":[95],"exogenous":[96],"equation":[102],"price.":[106],"Findings":[107],"results":[109],"show":[110],"that":[111],"higher":[112,127],"rates":[119],"increases":[120],"prices,":[125,131,133],"whilst":[126],"supply":[136],"reduces":[137],"prices.":[141],"Originality/value":[142],"This":[143],"departs":[145],"previous":[147],"studies":[148],"African":[150],"markets,":[151],"by":[152],"incorporating":[153],"time\u2010varying":[154],"characteristics":[156],"returns":[159],"further":[161],"examining":[162],"stock.":[175],"It":[176],"also":[177],"incorporates":[178],"external":[182],"uncertainties":[184],"commodity":[188],"shocks.":[190]},"counts_by_year":[{"year":2026,"cited_by_count":1},{"year":2024,"cited_by_count":5},{"year":2023,"cited_by_count":4},{"year":2022,"cited_by_count":8},{"year":2021,"cited_by_count":6},{"year":2020,"cited_by_count":4},{"year":2019,"cited_by_count":5},{"year":2018,"cited_by_count":7},{"year":2017,"cited_by_count":4},{"year":2016,"cited_by_count":2},{"year":2015,"cited_by_count":2},{"year":2014,"cited_by_count":1},{"year":2013,"cited_by_count":1},{"year":2012,"cited_by_count":2}],"updated_date":"2026-10-30T12:39:25.321706","created_date":"2016-06-24T00:00:00"}