Browsing by Author "Bokpin, G. A."

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Assessing the Performance of Active and Passive Trading On the Ghana Stock Exchange
(University of Ghana, 2015-07) Dickson, G. K.; Mensah, L.; Bokpin, G. A.; University of Ghana, College of Humanities, Business School, Department of Banking and Finance
This paper sought to test the weak-form market efficiency of the Ghana Stock Exchange and to establish whether the application of technical trading rules like the Variable Moving Average (VMA) on the Composite Index (CI) would be profitable during the periods January 2011 to December 2014. The study also provides evidence that active trading on the GSE can be profitable and can outperform the buy-hold-strategy adopted by a passive trader or investor. To establish market efficiency, the random walk model is estimated using two different statistical methods, namely, the Augmented Dickey Fuller (ADF) Unit root test and the Lo & MacKinlay variance ratio test. Empirical results from the ADF unit root test and the Variance ratio test strongly reject the random walk hypothesis and evidently support previous empirical studies that the, Ghana Stock Exchange market is weak-form inefficient. To exploit the inefficiencies on the exchange, the study applied technical trading techniques called the Variable Moving Average (VMA). Five different variations of this rule i.e. (1, 50), (5, 50), (1, 150), (5, 150) and (2, 200) were applied to the index to investigate whether they would outperform the passive investment strategy. It was found that indeed the application of the VMA yielded positive returns and that out of the five combination of rules tested, four actually outperformed the results of a buy-and-hold strategy with the exception of the (2,200) rule. It was also found that employing technical rules with much shorter lengths yielded profits twice as much as the returns generated by a passive trader or investor who uses a buy-and-hold strategy.
Profit Efficiency and Capital Structure of Banks in Ghana: A Dea Approach
(University of Ghana, 2015-07) Ayiku, S. N.; Ohene-Asare, K.; Bokpin, G. A.; University of Ghana, College of Humanities, Business School, Department of Banking and Finance
Using a nonparametric DEA approach, this study estimates the profit efficiency of 26 banks in Ghana over the period 2000 to 2013. This is compared to the estimates of two profitability ratios, ROA and ROE. The study then examines the influence of capital structure on the estimated profit efficiency and the extent to which the degree of competition measured by the Boone Indicator and the Herfindahl Hirschman Index influences the capital structure-profit efficiency nexus. The extent to which a bank’s ownership of a subsidiary (conglomeration) impacts the capital structure-profit efficiency link is also investigated. Two competing hypotheses-the efficiency risk and franchise value hypothesis are also tested to summarize the bi–causal relationship that exists between profit efficiency and capital structure. The results reveal that banks in Ghana operate close to the benchmark profit frontier and are 79% profit efficient. A comparison of the nonparametric DEA profit efficiency indicator with the profitability ratios suggest that these methods agree weakly on the performance of a bank. For the impact of capital structure on profit efficiency, the study found support for the trade-off and agency cost theories of capital structure. It was also found that competition and conglomeration do not necessarily influence the link between capital structure and profit efficiency of the banks. The study further found support for the efficiency risk hypothesis which indicates that profit efficient banks in Ghana choose more leverage relative to equity in financing their operations.