Augustine Addo, Fidelis Sunzuoye


The study examines the joint impact of interest rate and Treasury bill rate on stock market returns on Ghana Stock Exchange over the period between January 1995 and December 2011. Using Johansen’s Multivariate Cointegration Model and Vector Error Correction Model the study establish that there is cointegration between Interest rate, Treasury bill rate and stock market returns indicating long run relationship. On the basis of the Multiple Regression Analysis (OLS) carried out by Eviews 7 program, the results shows that Treasury bill rate and interest rate both have a negative relationship with stock market returns but are not significant.  These results show that interest rate and Treasury bill rate have both negative relationship but weak predictive power on stock market returns independently. The study conclude that interest rate and Treasury bill rate jointly impact on stock market returns in the long run.


Treasury bill, Interest rate, Stock Market Returns, Ghana Stock Exchange.

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