The paper investigates both the long run and the short run relationships between
the Ghana stock market and macroeconomic variables. The paper establishes that
there is cointegration between the macroeconomic variables and Ghana stock market.
The results of the short run dynamic analysis and the evidence of cointegration
mean that there are both short run and long run relationships between the macroeconomic
variables and the index. In terms of Efficient Market Hypothesis (EMH), the study
establishes that the Ghana stock market is informationally inefficient particularly
with respect to inflation, treasury bill rate and world gold price.