Abstract
The Ghanaian FX market has undergone significant transformation over the past decade, characterised by rising trading volumes and episodes of exchange rate volatility. This study utilises high-frequency daily data from 2018 to 2023, covering both calm and turbulent market conditions. Employing the BK-18 spillover index within a time–frequency framework, the analysis uncovers interconnectedness between order flows and exchange rates, with dynamics largely driven by short-term interactions and a regime-dependent relationship. Under calm market conditions, exchange rates, particularly USD/GHS tend to drive trading behaviour, while order flows play a prominent role in influencing exchange rate movements during turbulent periods, especially in the short to medium term. Across currency pairs, the EUR/GHS emerges as a dominant transmitter of shocks, exerting spillover effects, thereby highlighting the importance of cross-currency linkages in the Ghanaian FX market. Furthermore, the findings indicate that connectedness intensifies during periods of market stress and increased interdependence consistent with liquidity constraints and uncertainty. Overall, the study underscores the importance of market microstructure factors in explaining exchange rate behaviour beyond traditional macroeconomic fundamentals. These findings carry important implications for FX policy design, market surveillance, and regulatory oversight in Ghana, particularly in the context of managing volatility and strengthening market resilience.