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An investigation into aggregation bias: the case of stocks and treasury bill returns in Ghana
This is a publication by : Dodzi K. Dunyo, Ellis Kofi Akwaa-Sekyi, Joseph Magnus Frimpong & Akua Peprah-Yeboah (2024) An investigation into aggregation bias: the case of stocks and treasury bill returns in Ghana, Cogent Economics & Finance, 12:1, 2330845, DOI:10.1080/23322039.2024.2330845
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| Language: | English |
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Cogent Economics & Finance
2024
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| _version_ | 1869483610806943744 |
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| access_status_str | Open Access |
| author | Dunyo, Dodzi K. Akwaa-Sekyi, Ellis Kofi Frimpong, Joseph Magnus Peprah-Yeboah, Akua |
| author2 | 0000-0002-9497-568X |
| author_browse | 0000-0002-9497-568X Akwaa-Sekyi, Ellis Kofi Dunyo, Dodzi K. Frimpong, Joseph Magnus Peprah-Yeboah, Akua |
| author_facet | 0000-0002-9497-568X Dunyo, Dodzi K. Akwaa-Sekyi, Ellis Kofi Frimpong, Joseph Magnus Peprah-Yeboah, Akua |
| author_sort | Dunyo, Dodzi K. |
| collection | Thesis |
| description | This is a publication by : Dodzi K. Dunyo, Ellis Kofi Akwaa-Sekyi, Joseph Magnus Frimpong & Akua Peprah-Yeboah (2024) An investigation into aggregation bias: the case of stocks and treasury bill returns in Ghana, Cogent Economics & Finance, 12:1, 2330845, DOI:10.1080/23322039.2024.2330845 |
| format | Article |
| id | oai:ir.knust.edu.gh:123456789/15872 |
| institution | KNUST (Ghana) |
| language | English |
| last_indexed | 2026-07-01T04:01:44.568Z |
| license_str | Not specified — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from KNUSTSpace — Kwame Nkrumah University of Science & Technology (Ghana) |
| publishDate | 2024 |
| publishDateRange | 2024 |
| publishDateSort | 2024 |
| publisher | Cogent Economics & Finance |
| publisherStr | Cogent Economics & Finance |
| record_format | dspace |
| source_str | KNUSTSpace — Kwame Nkrumah University of Science & Technology (Ghana) |
| spelling | oai:ir.knust.edu.gh:123456789/15872 An investigation into aggregation bias: the case of stocks and treasury bill returns in Ghana Dunyo, Dodzi K. Akwaa-Sekyi, Ellis Kofi Frimpong, Joseph Magnus Peprah-Yeboah, Akua 0000-0002-9497-568X This is a publication by : Dodzi K. Dunyo, Ellis Kofi Akwaa-Sekyi, Joseph Magnus Frimpong & Akua Peprah-Yeboah (2024) An investigation into aggregation bias: the case of stocks and treasury bill returns in Ghana, Cogent Economics & Finance, 12:1, 2330845, DOI:10.1080/23322039.2024.2330845 The paper investigates aggregation bias by comparing the risk and returns characteristics of stock exchange-traded shares and Treasury bills (T’bills) in Ghana. The study uses end of period annualized data on T’bills and stocks returns, and inflation from 1990 to 2020. We mainly consider four separate investment periods: 1990–2000, 2001–2010, 2011–2020, and 1990–2020 (i.e. the aggregated period) in order to determine possible aggregation bias occurring from lumping the years together. We measure average annual returns, standard deviations, co-efficient of variations, Sharpe ratio, ANOVA, Jarque-Bera test, maximum drawdowns (MDD), and correlation analysis to determine risk and return characteristics of the two instruments. The study finds that T’bills compared to stocks shows higher returns yet lower risk, thereby indicating an inverted yield curve. Levene’s Test for Equality of Variances indicates stocks significantly outperformed T’bills over the 31-year aggregated period. The study reveals the presence of aggregation bias as stock and T’bill risk and return characteristics of two segregated periods (i.e. 1990–2000 and 2011–2020) contradict the general expectation of risk-return trade-off theory contrary to that of the aggregated period. The MDD, ANOVA results, Anova F-test and Welch F-test reveal aggregation bias for T’bills but not for stocks. We recommend future studies to ensure that analysis and conclusions made do not suffer aggregation bias by disaggregating aggregated units. KNUST 2024-07-25T12:09:52Z 2024-07-25T12:09:52Z 2024 Article : Dodzi K. Dunyo, Ellis Kofi Akwaa-Sekyi, Joseph Magnus Frimpong & Akua Peprah-Yeboah (2024) An investigation into aggregation bias: the case of stocks and treasury bill returns in Ghana, Cogent Economics & Finance, 12:1, 2330845, DOI: 10.1080/23322039.2024.2330845 https://doi.org/10.1080/23322039.2024.2330845 https://ir.knust.edu.gh/handle/123456789/15872 en application/pdf Cogent Economics & Finance |
| spellingShingle | Dunyo, Dodzi K. Akwaa-Sekyi, Ellis Kofi Frimpong, Joseph Magnus Peprah-Yeboah, Akua An investigation into aggregation bias: the case of stocks and treasury bill returns in Ghana |
| title | An investigation into aggregation bias: the case of stocks and treasury bill returns in Ghana |
| title_full | An investigation into aggregation bias: the case of stocks and treasury bill returns in Ghana |
| title_fullStr | An investigation into aggregation bias: the case of stocks and treasury bill returns in Ghana |
| title_full_unstemmed | An investigation into aggregation bias: the case of stocks and treasury bill returns in Ghana |
| title_short | An investigation into aggregation bias: the case of stocks and treasury bill returns in Ghana |
| title_sort | investigation into aggregation bias the case of stocks and treasury bill returns in ghana |
| url | https://doi.org/10.1080/23322039.2024.2330845 https://ir.knust.edu.gh/handle/123456789/15872 |
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