Stock Market Development and Economic Growth:Evidence of China
|
|
- Jacob Logan
- 7 years ago
- Views:
Transcription
1 Stock Market Development and Economic Growth:Evidence of China DUAN Hongbin Xinjiang University of Finance and Economics, P. R. China, Abstract:One of the most enduring debates in economics is whether stock market causes economic growth or whether it is a consequence of increased economy. The paper, using a data set for the period and applying the co-integration and causality analysis technology, provides evidence of a positive and significant causal relationship going from stock market development to economic growth in long term in China. Moreover, the result indicates that stock market promoted economic growth in China by mobilizing savings and providing liquidity. Keywords:Stock Market, Economic Growth, Causality Analysis 1. Introduction Although as early as 1891, Bohm Bawerk has already pointed out that capital market plays the role in promoting economics, however, systematic research on relationship between financial market and economics initiated from 1980s.In particular, the endogenous production of financial theory, the stock market, the relationship between development and economic growth theory and empirical research into new energy. Economists began to capital formation, such as stock market efficiency, information dissemination, risk spreading functions of different perspectives on stock market development and the relationship between economic growth and give a more in-depth, systematic study and revealed the stock market on the long-term economic positive impact on growth. In fact, a fully functional, ample liquidity and the stock market will not only help investors diversify risk, reduce information costs, but also improve the efficiency of capital allocation and the marginal productivity of capital (Greenwood and Jovanovic, 1990; Levine, 1991; Pagano, 1993 ; Bencivenga, Smith and Starr, 1996). From the development of the financial system, the formation conditions of the financial markets is relatively strict than the financial intermediaries. In the initial stage of economic development, per capita income and per capita wealth is very low, one can only rely on financial intermediaries reduce transaction costs. Only when the economy develops to a certain stage, the per capita income and per capita wealth reaches a certain critical value, people have the ability to organize and participate in financial markets; financial markets were able to form. As far as the development of China's financial system is concerned, the establishment and development of Chinese stock market are behind the financial intermediaries. In fact, the early 20th century, 90 the birth of the stock market was set up in China's rapid economic development foundation. As China's economy continues to develop, the number of people capable of participating in the stock market increased, the resulting unit cost to exchange a significant decrease, which will lead to more economic agents participate in the stock market transactions, thus contributing to the stock market to higher level. Conversely, as the stock market continues to develop, its role in promoting economic growth is gradually revealed. For this reason, this paper empirically tests the intrinsic relationship between the Chinese stock market development and economic growth by co-integration, Granger causality test and variance decomposition tests. 2. Stock Market and Economic Growth: A Literature Review With the stock market in the financial system becomes more and more importance, a large number of economists began empirical testing relationship between stock market development and economic growth, and made a number of influential results. Atje and Jovanovic (1993) based on 40 countries data between hold the OSL regression and results show that stock market liquidity (transaction 224
2 amount / nominal GDP) per capita real GDP on the impact of significant and stock market liquidity have made every 1% increase in real GDP per capita growth rate of about %. Levine and Zervos (1996) use stock market capitalization rate, the stock market liquidity indicators, stock market trading rates, turnover, and with the international capital market integration indicators of cross-country study finds that the stock market mobility and economic growth with the overall development of the stock market was a significant positive correlation. With two-stage least squares (TSLS) based the 49 countries data between Harris (1997) verified that stock market liquidity and the real GDP growth rate. However, in developed countries, the stock market liquidity does help to explain the real GDP growth rate. Singh (1997) studied the stock market and the intrinsic relationship between economic developments, pointed out that the vulnerability of the stock market, stock market and money market alternative, and the potential threat of the banking system. For most developing countries, the stock market cannot accelerate the expansion of industrialization and the promotion of long-term economic growth. Based on the 41 countries data from 1976 to 1993, Levine and Zervos (1998) found that there is a strong correlation between the overall stock market development and long-term economic growth. Especially in such as initial income (logarithm of initial per capita GDP), initial education (secondary school enrollment rate on the initial values), political instability (the number of revolutions and coups), government consumption expenditure and GDP, rates, inflation and black market exchange rate and other variables controlled, the stock market development and long-term economic growth is still significantly correlated. Beck and Levine (Beck and Levine, 2001) using GMM technology in 40 countries between , the average panel data regression results show that in the control of the country-specific effects and potential endogeneity, the stock market and bank liquidity development independently influence of economic growth. Chang (2001) found that countries with low level of stock market development, has a positive relationship between stock market development and economic growth. While those with higher levels of stock market development are not significant. Obviously, most of the empirical research confirmed that the stock market development has a positive impact on economic growth. Recently, many Chinese scholars focused on the relationship between economic growth and stock market development, most results show that the development of stock market slightly affects on economic growth. On Ru-yong (1999) pointed out that during the period , China's stock market development has a little effect of economic growth. Kai-Guo Wang (2000) based on China quarterly data hold the regression and results show that China's stock market liquidity has limited effect of economic growth. Zheng Huaijiang et al (2000) based on quarterly data between hold the regression and results show that the improvement of China's stock market liquidity is not to promote household savings increased and the conversion of savings to investment, and no affect economic growth. Mu Qing et al (2001) used the Shanghai and Shenzhen Stock Exchange A stock's capitalization rate, the stock market turnover and stock market trading rate and income volatility in the stock market development indicators, selected quarterly real GDP growth rate of the chain, investment in fixed assets of state-owned units quarter of the chain growth rate of bank savings rate and the residents as an economic growth target for each quarter between variable data regression, found that the rate of increase stock market transactions increased the number of fixed assets of state-owned units, reducing the rate of household bank savings, Therefore, the stock market development can improve investment efficiency, optimize resource allocation, and thus promote the improvement of China's economic growth. Based the data of and quarterly economic growth, by co-integration analysis, Granger causality test, Zhao Zhenquan (2002) found that there is only a weak negative correlation between Chinese stock market and capitalization rate, while there is a positive relationship between trading value and turnover rate of economic growth. Wen Jiandong (2004) by stepwise regression with quarterly data found China's stock market can promote economic growth. The empirical results further show that stock market volatility and between economic growth and development banks have a significant two-way causal relationship, but correlation is negative, which indicates stocks may exist "excessive" volatility on economic growth and development and had a negative impact on banks. 225
3 3. Variables and data collection A, the economic growth target Currently, scholars mainly advance two indicators to measure economic growth: First, GDP growth rate; 2 per capita GDP. B, the stock market development indicators Generally speaking, the stock market development through market size, liquidity, volatility, measured three aspects. According to Demirgüc-Kunt and Levine (1996), Levine and Zervos (1998) approach, taking into account the availability of data, this paper selected four indicators as a measure of the level of development of Chinese stock market variables. (1) Stock market capitalization ratio (CAPITALIZATION), equal to Shenzhen and Shanghai stock market value of the quarter (quarter monthly average) and the ratio of quarterly nominal GDP. This indicator used to reflect the scale of China's stock market. Although the stock market does not mean that the greater the higher the efficiency, but generally, the larger the stock market, raise capital and diversify risk, the stronger the ability. (2) Stock market trading rate (VALUE), equal to Shenzhen and Shanghai stock market turnover and the seasonal quarter nominal GDP ratio. This indicator can reflect from the perspective of the total stock market liquidity. (3) The stock market turnover (TURNOVER), equal to the quarter in Shenzhen and Shanghai stock market capitalization and turnover ratio, the indicator of transaction costs from the perspective of the liquidity of the stock market. In general, high turnover reflects the lower transaction costs, stock market, or market speculation active. (4) Stock market volatility (VOLATILITY), in the quarter a day on the Shanghai Composite Stock Price Index (closing price) on behalf of the standard deviation of volatility. Undeniably, the size of fluctuations in the level and extent of stock market development there is no necessary connection. But usually, the "low volatility" or the higher level of development means that the stock market. C, control variables Because many factors affect economic growth, this paper selected the following two indicators as control variables measurement model. (1) Inflation rate (INFLATION). Taking into account the consumer price index in China has strong representation, choose Chain Consumer Price Index (previous year = 100) as the inflation measure. Due to our current consumer price index published monthly, in order to minimize the abnormal price fluctuations, the consumer price index this quarter to take a monthly average processing. (2) Indicators of financial intermediary (FI), equivalent to RMB Credit financial institutions of the loans in the balance with the seasonal end of the quarter the ratio of nominal GDP. Select the index because of China's financial system is bank-oriented and bank loans play a supportive role in economic growth significantly. Hence, the indicators as control variables can more accurately reflect the stock market's role in economic growth. 4. Test and explanation of china's stock market and economic growth Statistical characteristics of all the variables are shown as Table 1. In order to eliminate seasonal factors on the time series, this method of using X11 were carried out on all the variables seasonally adjusted. Table 1: Statistical characteristics of empirical variables Variable average median maximum minimum standard deviation GROWTH CAPITALIZATION VALUE
4 TURNOVER VOLATILITY FI INFLATION Note: The sample number = 50. (A) Single-integration test In traditional time series econometric studies, economic data is usually generated by assuming the process is stable random process. However, many economic indicators of the time series do not actually have stable process characteristics. Therefore, if non-stationary time series are not addressed by quantitative analysis, it will often produce the so-called "spurious regression" phenomenon. As can be seen from Table 2, all sequences are 95% confidence level cannot be a smooth test. Of all first-order differential treatment variables, and then again unit root test results show that the variable GROWTH, TURNOVER, and INFLATION in the first-order differential variables through confidence level of 95% of the stationarity test, other variables may be through the confidence level of 99 % of the stationarity test. Table 2: ADF unit root test results variable value threshold test form confidence level GROWTH (c,0, 0) 10% CAPITALIZATION (c, 0,1) 10% VALUE (c,0, 0) 10% TURNOVER (c, t, 2) 10% VOLATILITY (c, 0, 1) 10% FI (c, t, 0) 10% INFLATION (c, t, 2) 10% GROWTH (c, 0, 0) 1% CAPITALIZATION (c, 0, 0) 5% VALUE (c, 0, 0) 5% TURNOVER (c, t,1) 1% VOLATILITY (c,0, 10) 1% FI (c, t, 0) 1% INFLATION (c, t, 0) 5% Note: " " on behalf of the first difference, c on behalf of the constant term, t represents time trend term. (B) Co-integration test Examine the variables in the use of Johansen co-integration relationship between the existences of before, but also to determine the optimal lag VAR model. According to AIC and SC information criteria, to determine the optimal lag co-integration test period for a. In the financial intermediation and inflation rate as the control variable conditions, the stock market and economic growth of all variables standardized between the co-integration equations is as follows: GROWTH = 0.72CAPITALIZATION-1.38VALUE TURNOVER-0.03VOLATILITY Log likelihood = The type that China's economic growth and stock market capitalization rate, turnover co-integration 227
5 relationship between the positive, but with the trade rate, market fluctuations, the reverse co-integration. Measure of stock market development in the four indicators, stock market turnover and transaction rate co-integration coefficient is relatively large, which indicates that stock market liquidity and economic growth is strongly correlated; to expand the overall size of the stock market also can play a positive role in economic growth; stock market volatility co-integration coefficient minimum, indicating that stock market volatility and the correlation between economic growth and weak. (C) Granger causality test From China's financial market development indicators and economic growth causality test results (table 3 below) shows that China's financial market development and economic growth is a certain way Granger causality, that is, economic growth not only promote financial markets development, but development of financial markets also push economic growth. Financial market development indicators, only the ratio of stock market capitalization and turnover of the economic growth Granger causes, and two variables reflecting the economic growth when the demurrage are more than 15 months. At the same time, economic growth is the ratio of stock market capitalization and trading rates Granger cause stock market transactions in which the rate of economic growth to reflect a time lag of 6 months, while stock market capitalization ratio reflects the time lag 24 months. Table 3: Granger Causality Test Results Null hypothesis F-Stat probability Lag GROWTH does not Granger Cause VALUE TURNOVER does not Granger Cause GROWTH CAPITALIZATION does not Granger Cause GROWTH TURNOVER does not Granger Cause GROWTH CAPITALIZATION does not Granger Cause GROWTH TURNOVER does not Granger Cause GROWTH GROWTH does not Granger Cause CAPITALIZATION CAPITALIZATION does not Granger Cause GROWTH TURNOVER does not Granger Cause GROWTH (D) Variance decomposition analysis Granger causality test confirmed that China's financial market development and economic growth, there is some causal link between, but it cannot account for the four indicators of financial market development on economic growth effects of the relative importance and the importance of the dynamic characteristics of this basic information. The variance decomposition of economic growth will help to solve the problem. Table 4: Variance decomposition table variable GROWTH Period S.E. GROWTH CAPITALIZATION VALUE TURNOVER VOLATILITY
6 Table 4 shows, indicators of financial market development on economic growth in less short-term impact, but over time, this effect tends to strengthen. Stock market capitalization rate and the rate of market transactions, the impact on economic growth was stronger in the market volatility and market turnover, especially in the 18 months after the capitalization rate and transaction rate on the impact of economic growth will rapidly increase. 5. Conclusion There exists the two-way causality between China's stock market development and economic growth, that is, economic growth can not only promote the development of the stock market, and stock market development similarly pushes economic growth. The impact of stock market on economic growth is more limited in short-term, but significant in long-term. Further, the stock market as the national economy "barometer" of the function needs to be further strengthened. Mobilize savings for economic growth in China's stock market is one important way, this equation from the co-integration ratio of stock market capitalization is associated with economic growth as evident. In fact, China's sustained economic growth for the stock market is not only a great expansion of the scale, in turn, the scale of the expansion of the stock market does attract a lot of savings into the stock market, thereby increasing capital formation. As the stock market provides the most basic and most important a service, mobility on the growing influence of China's economic growth is significant. The empirical results show that, China stock market turnover growth is associated not only with the economy, and of the economic growth of the Granger reason, it shows that China's stock market has been able to play an important role in information gathering and corporate governance. Overall, after 10 years of development, China's stock market has begun to take shape, and the role of the national economy is increasingly significant. At the same time, and the practical needs of economic and social development compared to the basis of China's capital market at the present stage of construction is still relatively weak and largely restricted to healthy market development and its functions effectively. References [1]. Arestis, P., Demetriades, P., and Luintel, B., Financial Development and Economic Growth: The Role of Stock Market, Journal of Money, Credit and Banking, vol33, No.1, February 2001, pp [2]. Asli Demirgüç-Kunt and Ross Levine, Stock Market Development and Financial Intermediaries: Stylized Facts, the World Bank Economic Review, Volume 10, Number 2, May [3]. Atje, R., and Jovanovic, B., Stocks markets and development, European Economic Review, 1993, 37, pp [4]. Beck, Thorsten, and Levine, Ross. Stock Markets, Banks, and Growth: Correlation or Causality, World Bank, Working Papers, [5]. Chang, Stock Market Development and Economic Growth: A Panel Data Approach, Asia Pacific Management Review, 2001, pp [6]. Demirgüç-Kunt, Asli. and Levine, Ross., Stock Markets, Corporate Finance, and Economic Growth: An Overview, World Bank Economic Review, May 1996, 19(2), [7]. Harris, Rechard D. F., Stock Market and Development: Re-assessment, European Economic Review, 1997, 41(1), pp [8]. Levine, R. and Zervos, S., Stock market development and long-run growth, World Bank Economic Review, 1996, 10, pp [9]. Levine, Ross, and Zervos, Sarra. Stock Markets, Banks, and Growth, American Economic Review, , 88(3), pp [10]. Singh, A., Financial Liberalisation, Stock Markets and Economic Development, The Economic Journal, 1997, 107, pp [11]. King, Robert G., and Levine, Ross. Finance and Growth: Schumpeter Might Be Right, Quarterly Journal of Economics, 1993, 108,
An Empirical Study on the Relationship between Stock Index and the National Economy: The Case of China
An Empirical Study on the Relationship between Stock Index and the National Economy: The Case of China Ming Men And Rui Li University of International Business & Economics Beijing, People s Republic of
More informationTEMPORAL CAUSAL RELATIONSHIP BETWEEN STOCK MARKET CAPITALIZATION, TRADE OPENNESS AND REAL GDP: EVIDENCE FROM THAILAND
I J A B E R, Vol. 13, No. 4, (2015): 1525-1534 TEMPORAL CAUSAL RELATIONSHIP BETWEEN STOCK MARKET CAPITALIZATION, TRADE OPENNESS AND REAL GDP: EVIDENCE FROM THAILAND Komain Jiranyakul * Abstract: This study
More informationThe Role of Stock Market Development in Economic Growth: Evidence from Some Euronext Countries
The Role of Stock Market Development in Economic Growth: Evidence from Some Euronext Countries Ake Boubakari (Corresponding author) Shanghai University of Finance and Economics PO. Box. 200083, Shanghai,
More informationDeterminants of Stock Market Performance in Pakistan
Determinants of Stock Market Performance in Pakistan Mehwish Zafar Sr. Lecturer Bahria University, Karachi campus Abstract Stock market performance, economic and political condition of a country is interrelated
More informationCauses of Inflation in the Iranian Economy
Causes of Inflation in the Iranian Economy Hamed Armesh* and Abas Alavi Rad** It is clear that in the nearly last four decades inflation is one of the important problems of Iranian economy. In this study,
More informationDEPARTMENT OF ECONOMICS CREDITOR PROTECTION AND BANKING SYSTEM DEVELOPMENT IN INDIA
DEPARTMENT OF ECONOMICS CREDITOR PROTECTION AND BANKING SYSTEM DEVELOPMENT IN INDIA Simon Deakin, University of Cambridge, UK Panicos Demetriades, University of Leicester, UK Gregory James, University
More informationEuropean Journal of Business and Management ISSN 2222-1905 (Paper) ISSN 2222-2839 (Online) Vol.5, No.30, 2013
The Impact of Stock Market Liquidity on Economic Growth in Jordan Shatha Abdul-Khaliq Assistant Professor,AlBlqa Applied University, Jordan * E-mail of the corresponding author: yshatha@gmail.com Abstract
More informationThe Impact of Interest Rate Shocks on the Performance of the Banking Sector
The Impact of Interest Rate Shocks on the Performance of the Banking Sector by Wensheng Peng, Kitty Lai, Frank Leung and Chang Shu of the Research Department A rise in the Hong Kong dollar risk premium,
More informationDo Commercial Banks, Stock Market and Insurance Market Promote Economic Growth? An analysis of the Singapore Economy
Do Commercial Banks, Stock Market and Insurance Market Promote Economic Growth? An analysis of the Singapore Economy Tan Khay Boon School of Humanities and Social Studies Nanyang Technological University
More informationTesting for Granger causality between stock prices and economic growth
MPRA Munich Personal RePEc Archive Testing for Granger causality between stock prices and economic growth Pasquale Foresti 2006 Online at http://mpra.ub.uni-muenchen.de/2962/ MPRA Paper No. 2962, posted
More informationStock Markets, Banks, and Growth: Panel Evidence
Stock Markets, Banks, and Growth: Panel Evidence Thorsten Beck and Ross Levine First Draft: July 2001 This Draft: May 2002 Abstract: This paper investigates the impact of stock markets and banks on economic
More informationANALYSIS OF EUROPEAN, AMERICAN AND JAPANESE GOVERNMENT BOND YIELDS
Applied Time Series Analysis ANALYSIS OF EUROPEAN, AMERICAN AND JAPANESE GOVERNMENT BOND YIELDS Stationarity, cointegration, Granger causality Aleksandra Falkowska and Piotr Lewicki TABLE OF CONTENTS 1.
More informationMicro and macroeconomic determinants of net interest margin in the Albanian banking system (2002-2014)
Micro and macroeconomic determinants of net interest margin in the Albanian banking system (2002-2014) Eralda Leka, Monetary Policy Department, Meri Papavangjeli, Research Department, Bank of Albania*
More informationDING Zhao FEBRUARY 2014 VOL 5, NO 10. Master degree candidate, College of Economic & Management, Sichuan Agricultural University.
Analysis of relationship between rural energy consumption of biomass resources and income alteration of farmers DING Zhao Master degree candidate, College of Economic & Management, Sichuan Agricultural
More informationTHE EFFECTS OF BANKING CREDIT ON THE HOUSE PRICE
THE EFFECTS OF BANKING CREDIT ON THE HOUSE PRICE * Adibeh Savari 1, Yaser Borvayeh 2 1 MA Student, Department of Economics, Science and Research Branch, Islamic Azad University, Khuzestan, Iran 2 MA Student,
More informationChapter 5: Bivariate Cointegration Analysis
Chapter 5: Bivariate Cointegration Analysis 1 Contents: Lehrstuhl für Department Empirische of Wirtschaftsforschung Empirical Research and und Econometrics Ökonometrie V. Bivariate Cointegration Analysis...
More informationDo well-functioning stock markets and banks promote long-run economic
Stock Markets, Banks, and Economic Growth Ross Levine and Sara Zervos * Abstract: Do well-functioning stock markets and banks promote long-run economic growth? This paper shows that stock market liquidity
More informationThe Influence of Crude Oil Price on Chinese Stock Market
The Influence of Crude Oil Price on Chinese Stock Market Xiao Yun, Department of Economics Pusan National University 2,Busandaehak-ro 63beon-gil, Geumjeong-gu, Busan 609-735 REPUBLIC OF KOREA a101506e@nate.com
More informationDynamic Relationship between Interest Rate and Stock Price: Empirical Evidence from Colombo Stock Exchange
International Journal of Business and Social Science Vol. 6, No. 4; April 2015 Dynamic Relationship between Interest Rate and Stock Price: Empirical Evidence from Colombo Stock Exchange AAMD Amarasinghe
More informationINFLATION, INTEREST RATE, AND EXCHANGE RATE: WHAT IS THE RELATIONSHIP?
107 INFLATION, INTEREST RATE, AND EXCHANGE RATE: WHAT IS THE RELATIONSHIP? Maurice K. Shalishali, Columbus State University Johnny C. Ho, Columbus State University ABSTRACT A test of IFE (International
More informationWorking Papers. Cointegration Based Trading Strategy For Soft Commodities Market. Piotr Arendarski Łukasz Postek. No. 2/2012 (68)
Working Papers No. 2/2012 (68) Piotr Arendarski Łukasz Postek Cointegration Based Trading Strategy For Soft Commodities Market Warsaw 2012 Cointegration Based Trading Strategy For Soft Commodities Market
More informationIS THERE A LONG-RUN RELATIONSHIP
7. IS THERE A LONG-RUN RELATIONSHIP BETWEEN TAXATION AND GROWTH: THE CASE OF TURKEY Salih Turan KATIRCIOGLU Abstract This paper empirically investigates long-run equilibrium relationship between economic
More informationijcrb.com INTERDISCIPLINARY JOURNAL OF CONTEMPORARY RESEARCH IN BUSINESS AUGUST 2014 VOL 6, NO 4
RELATIONSHIP AND CAUSALITY BETWEEN INTEREST RATE AND INFLATION RATE CASE OF JORDAN Dr. Mahmoud A. Jaradat Saleh A. AI-Hhosban Al al-bayt University, Jordan ABSTRACT This study attempts to examine and study
More informationENDOGENOUS GROWTH MODELS AND STOCK MARKET DEVELOPMENT: EVIDENCE FROM FOUR COUNTRIES
ENDOGENOUS GROWTH MODELS AND STOCK MARKET DEVELOPMENT: EVIDENCE FROM FOUR COUNTRIES Guglielmo Maria Caporale, South Bank University London Peter G. A Howells, University of East London Alaa M. Soliman,
More informationComovements of the Korean, Chinese, Japanese and US Stock Markets.
World Review of Business Research Vol. 3. No. 4. November 2013 Issue. Pp. 146 156 Comovements of the Korean, Chinese, Japanese and US Stock Markets. 1. Introduction Sung-Ky Min * The paper examines Comovements
More informationEnergy consumption and GDP: causality relationship in G-7 countries and emerging markets
Ž. Energy Economics 25 2003 33 37 Energy consumption and GDP: causality relationship in G-7 countries and emerging markets Ugur Soytas a,, Ramazan Sari b a Middle East Technical Uni ersity, Department
More informationDoes Capital Market Development Predict Investment Behaviors in a Developing Country? --- Evidence from Nigeria
Journal of Contemporary Management Submitted on 15/December/2011 Article ID: 1929-0128-2012-01-27-08 Okey O. Ovat Does Capital Market Development Predict Investment Behaviors in a Developing Country? ---
More informationThe Effect of Housing on Portfolio Choice. July 2009
The Effect of Housing on Portfolio Choice Raj Chetty Harvard Univ. Adam Szeidl UC-Berkeley July 2009 Introduction How does homeownership affect financial portfolios? Linkages between housing and financial
More informationDeterminants of the Hungarian forint/ US dollar exchange rate
Theoretical and Applied Economics FFet al Volume XXIII (2016), No. 1(606), Spring, pp. 163-170 Determinants of the Hungarian forint/ US dollar exchange rate Yu HSING Southeastern Louisiana University,
More informationDynamics of Real Investment and Stock Prices in Listed Companies of Tehran Stock Exchange
Dynamics of Real Investment and Stock Prices in Listed Companies of Tehran Stock Exchange Farzad Karimi Assistant Professor Department of Management Mobarakeh Branch, Islamic Azad University, Mobarakeh,
More informationRenminbi Depreciation and the Hong Kong Economy
Thomas Shik Acting Chief Economist thomasshik@hangseng.com Renminbi Depreciation and the Hong Kong Economy If the recent weakness of the renminbi persists, it is likely to have a positive direct impact
More informationIs the Forward Exchange Rate a Useful Indicator of the Future Exchange Rate?
Is the Forward Exchange Rate a Useful Indicator of the Future Exchange Rate? Emily Polito, Trinity College In the past two decades, there have been many empirical studies both in support of and opposing
More informationDo Heating Oil Prices Adjust Asymmetrically To Changes In Crude Oil Prices Paul Berhanu Girma, State University of New York at New Paltz, USA
Do Heating Oil Prices Adjust Asymmetrically To Changes In Crude Oil Prices Paul Berhanu Girma, State University of New York at New Paltz, USA ABSTRACT This study investigated if there is an asymmetric
More informationN obel Prize winners disagree about the impact
More on Finance and Growth: More Finance, More Growth? Ross Levine N obel Prize winners disagree about the impact of the financial sector on economic growth. Some do not even consider finance worth discussing.
More informationVolatility in the Overnight Money-Market Rate in Bangladesh: Recent Experiences PN 0707
Volatility in the Overnight Money-Market Rate in Bangladesh: Recent Experiences PN 0707 Md. Shahiduzzaman* Mahmud Salahuddin Naser * Abstract This paper tries to investigate the pattern of volatility in
More informationThe Relationships between Economic Growth and Environmental Pollution Based on Time Series Data:An Empirical Study of Zhejiang Province
Journal of Cambridge Studies 33 The Relationships between Economic Growth and Environmental Pollution Based on Time Series Data:An Empirical Study of Zhejiang Province Lixia YANG 1 Shaofeng YUAN 2 * Le
More informationThe VAR models discussed so fare are appropriate for modeling I(0) data, like asset returns or growth rates of macroeconomic time series.
Cointegration The VAR models discussed so fare are appropriate for modeling I(0) data, like asset returns or growth rates of macroeconomic time series. Economic theory, however, often implies equilibrium
More informationForecasting Chinese Economy for the Years 2013-2014
Forecasting Chinese Economy for the Years 2013-2014 Xuesong Li Professor of Economics Deputy Director of Institute of Quantitative & Technical Economics Chinese Academy of Social Sciences Email: xsli@cass.org.cn
More informationHow To Understand The Relationship Between Economic Development And Growth
Andrea F. Presbitero E-mail: a.presbitero@univpm.it Pagina web: www.dea.unian.it/presbitero/ Dipartimento di Economia Università Politecnica delle Marche Credito, Finanza e Sviluppo nei PVS Financial Development
More informationTHE EFFECT OF MONETARY GROWTH VARIABILITY ON THE INDONESIAN CAPITAL MARKET
116 THE EFFECT OF MONETARY GROWTH VARIABILITY ON THE INDONESIAN CAPITAL MARKET D. Agus Harjito, Bany Ariffin Amin Nordin, Ahmad Raflis Che Omar Abstract Over the years studies to ascertain the relationship
More informationInsurance and the Macroeconomic Environment
Insurance and the Macroeconomic Environment Casper Christophersen and Petr Jakubik 1 Abstract Insurance companies play an important role in the financial sector and the availability of insurance products
More informationSTOCK MARKETS AND ECONOMIC GROWTH : A CAUSALITY TEST*
STOCK MARKETS AND ECONOMIC GROWTH : A CAUSALITY TEST* Gürsoy, Cudi Tuncer Doğuş Üniversitesi, İşletme Bölüm ü Müslümov, Alövsat Boğaziçi University Abstract: This article examines causality relationships
More informationJournal of Sustainable Development in Africa (Volume 11, No.2, 2009)
Journal of Sustainable Development in Africa (Volume 11, No.2, 2009) ISSN: 1520-5509 Clarion University of Pennsylvania, Clarion, Pennsylvania STOCK MARKET DEVELOPMENT AND PRIVATE INVESTMENT GROWTH IN
More informationRelative Effectiveness of Foreign Debt and Foreign Aid on Economic Growth in Pakistan
Relative Effectiveness of Foreign Debt and Foreign Aid on Economic Growth in Pakistan Abstract Zeshan Arshad Faculty of Management and Sciences, Evening Program, University of Gujrat, Pakistan. Muhammad
More informationAnalyzing the Effect of Change in Money Supply on Stock Prices
72 Analyzing the Effect of Change in Money Supply on Stock Prices I. Introduction Billions of dollars worth of shares are traded in the stock market on a daily basis. Many people depend on the stock market
More informationCross-Border Capital Flows Statistics and Its Implication for Monitoring in China
First IMF Statistical Forum Statistics for Global Economic and Financial Stability Cross-Border Capital Flows Statistics and Its Implication for Monitoring in China Wang Xiaoyi State Administration of
More informationMESTRADO ECONOMIA MONETÁRIA E FINANCEIRA TRABALHO FINAL DE MESTRADO DISSERTAÇÃO DOES FINANCIAL DEVELOPMENT PROMOTE ECONOMIC GROWTH?
MESTRADO ECONOMIA MONETÁRIA E FINANCEIRA TRABALHO FINAL DE MESTRADO DISSERTAÇÃO DOES FINANCIAL DEVELOPMENT PROMOTE ECONOMIC GROWTH? SARA FILIPA MEIXEDO VENÂNCIO SETEMBRO, 2013 MESTRADO EM ECONOMIA MONETÁRIA
More informationTHE RELATIONSHIP BETWEEN INFLATION AND STOCK PRICES (A Case of JORDAN)
www.arpapress.com/volumes/vol10issue1/ijrras_10_1_06.pdf THE RELATIONSHIP BETWEEN INFLATION AND STOCK PRICES (A Case of JORDAN) Shukairi Nori Mousa 1, Waleed Al safi 2, AbdulBaset Hasoneh 3 & Marwan Mohammad
More informationStudy on the Impact of Inflation on the Stock Market in China
Study on the Impact of Inflation on the Stock Market in China Zhongqiang Bai School of Management Shanghai University of Engineering Science China Abstract The stock price is subject to the effects of
More informationRelationship among crude oil prices, share prices and exchange rates
Relationship among crude oil prices, share prices and exchange rates Do higher share prices and weaker dollar lead to higher crude oil prices? Akira YANAGISAWA Leader Energy Demand, Supply and Forecast
More informationThe price-volume relationship of the Malaysian Stock Index futures market
The price-volume relationship of the Malaysian Stock Index futures market ABSTRACT Carl B. McGowan, Jr. Norfolk State University Junaina Muhammad University Putra Malaysia The objective of this study is
More informationPITFALLS IN TIME SERIES ANALYSIS. Cliff Hurvich Stern School, NYU
PITFALLS IN TIME SERIES ANALYSIS Cliff Hurvich Stern School, NYU The t -Test If x 1,..., x n are independent and identically distributed with mean 0, and n is not too small, then t = x 0 s n has a standard
More informationA Trading Strategy Based on the Lead-Lag Relationship of Spot and Futures Prices of the S&P 500
A Trading Strategy Based on the Lead-Lag Relationship of Spot and Futures Prices of the S&P 500 FE8827 Quantitative Trading Strategies 2010/11 Mini-Term 5 Nanyang Technological University Submitted By:
More informationDo Commodity Price Spikes Cause Long-Term Inflation?
No. 11-1 Do Commodity Price Spikes Cause Long-Term Inflation? Geoffrey M.B. Tootell Abstract: This public policy brief examines the relationship between trend inflation and commodity price increases and
More informationAn introduction to Value-at-Risk Learning Curve September 2003
An introduction to Value-at-Risk Learning Curve September 2003 Value-at-Risk The introduction of Value-at-Risk (VaR) as an accepted methodology for quantifying market risk is part of the evolution of risk
More informationHow To Analyze The Time Varying And Asymmetric Dependence Of International Crude Oil Spot And Futures Price, Price, And Price Of Futures And Spot Price
Send Orders for Reprints to reprints@benthamscience.ae The Open Petroleum Engineering Journal, 2015, 8, 463-467 463 Open Access Asymmetric Dependence Analysis of International Crude Oil Spot and Futures
More informationWeek TSX Index 1 8480 2 8470 3 8475 4 8510 5 8500 6 8480
1) The S & P/TSX Composite Index is based on common stock prices of a group of Canadian stocks. The weekly close level of the TSX for 6 weeks are shown: Week TSX Index 1 8480 2 8470 3 8475 4 8510 5 8500
More informationTesting The Quantity Theory of Money in Greece: A Note
ERC Working Paper in Economic 03/10 November 2003 Testing The Quantity Theory of Money in Greece: A Note Erdal Özmen Department of Economics Middle East Technical University Ankara 06531, Turkey ozmen@metu.edu.tr
More informationInterpreting Market Responses to Economic Data
Interpreting Market Responses to Economic Data Patrick D Arcy and Emily Poole* This article discusses how bond, equity and foreign exchange markets have responded to the surprise component of Australian
More informationFDI and Economic Growth Relationship: An Empirical Study on Malaysia
International Business Research April, 2008 FDI and Economic Growth Relationship: An Empirical Study on Malaysia Har Wai Mun Faculty of Accountancy and Management Universiti Tunku Abdul Rahman Bander Sungai
More informationComparative Analysis of Shanghai and Hong Kong s Financial Service Trade Competitiveness
Comparative Analysis of Shanghai and Hong Kong s Financial Service Trade Competitiveness Ying Li Longfei Liu Lijun Liang Management School Shanghai University of Engineering and Science China Abstract
More informationAir passenger departures forecast models A technical note
Ministry of Transport Air passenger departures forecast models A technical note By Haobo Wang Financial, Economic and Statistical Analysis Page 1 of 15 1. Introduction Sine 1999, the Ministry of Business,
More informationAn Empirical Study of Influential Factors of Debt Financing
ISSN 1479-3889 (print), 1479-3897 (online) International Journal of Nonlinear Science Vol.3(2007) No.3,pp.208-212 An Empirical Study of Influential Factors of Debt Financing Jing Wu School of Management,
More informationThe Contribution of Human capital to European Economic Growth: An empirical exploration from a panel data
The Contribution of Human capital to European Economic Growth: An empirical exploration from a panel data Menbere Workie Tiruneh 1 Marek Radvansky 2 Abstract The paper empirically investigates the extent
More informationThe relationships between stock market capitalization rate and interest rate: Evidence from Jordan
Peer-reviewed & Open access journal ISSN: 1804-1205 www.pieb.cz BEH - Business and Economic Horizons Volume 2 Issue 2 July 2010 pp. 60-66 The relationships between stock market capitalization rate and
More informationThe Impact of Privatization in Insurance Industry on Insurance Efficiency in Iran
The Impact of Privatization in Insurance Industry on Insurance Efficiency in Iran Shahram Gilaninia 1, Hosein Ganjinia, Azadeh Asadian 3 * 1. Department of Industrial Management, Islamic Azad University,
More informationAN EMPIRICAL INVESTIGATION OF THE RELATIONSHIP AMONG P/E RATIO, STOCK RETURN AND DIVIDEND YIELS FOR ISTANBUL STOCK EXCHANGE
AN EMPIRICAL INVESTIGATION OF THE RELATIONSHIP AMONG P/E RATIO, STOCK RETURN AND DIVIDEND YIELS FOR ISTANBUL STOCK EXCHANGE Funda H. SEZGIN Mimar Sinan Fine Arts University, Faculty of Science and Letters
More informationFINANCIALISATION AND EXCHANGE RATE DYNAMICS IN SMALL OPEN ECONOMIES. Hamid Raza PhD Student, Economics University of Limerick Ireland
FINANCIALISATION AND EXCHANGE RATE DYNAMICS IN SMALL OPEN ECONOMIES Hamid Raza PhD Student, Economics University of Limerick Ireland Financialisation Financialisation as a broad concept refers to: a) an
More informationTHE IMPACT OF FUTURE MARKET ON MONEY DEMAND IN IRAN
THE IMPACT OF FUTURE MARKET ON MONEY DEMAND IN IRAN Keikha M. 1 and *Shams Koloukhi A. 2 and Parsian H. 2 and Darini M. 3 1 Department of Economics, Allameh Tabatabaie University, Iran 2 Young Researchers
More informationImpact of Economic Factors on the Stock Prices at Amman Stock Market (1992-2010)
Impact of Economic Factors on the Stock Prices at Amman Stock Market (1992-2010) Dr. Ghazi F. Momani Associate Professor, Department of Financial Sciences he Arab Academy for Banking & Financial Sciences
More informationYao Zheng University of New Orleans. Eric Osmer University of New Orleans
ABSTRACT The pricing of China Region ETFs - an empirical analysis Yao Zheng University of New Orleans Eric Osmer University of New Orleans Using a sample of exchange-traded funds (ETFs) that focus on investing
More informationROLE OF MACROECONOMIC PERFORMANCE ON STOCK MARKET VOLATILITY: AN INDIAN PERSPECTIVE
Int. J. Mgmt Res. & Bus. Strat. 2014 Ruta Khaparde and Anjali Bhute, 2014 ISSN 2319-345X www.ijmrbs.com Vol. 3, No. 1, January 2014 2014 IJMRBS. All Rights Reserved ROLE OF MACROECONOMIC PERFORMANCE ON
More informationthe determinants of p/e ratio in telecommunication sector: developed vs emerging markets
the determinants of p/e ratio in telecommunication sector: developed vs emerging markets Author : NICULCEA SIMONA Coordinator: Conf. Univ. Dr. CIOBANU ANAMARIA THE DETERMINANTS OF P/E RATIO IN TELECOMMUNICATION
More informationInternational Business & Economics Research Journal February 2007 Volume 6, Number 2
Independency Or Correlation? The GCC Stock Markets, Interest Rates, And Oil Prices: Against All Financial Rules Viviane Y. Naïmy, (Email: vnaimy@ndu.edu.lb), Notre Dame University, Lebanon ABSTRACT This
More informationIMPACT OF WORKING CAPITAL MANAGEMENT ON PROFITABILITY
IMPACT OF WORKING CAPITAL MANAGEMENT ON PROFITABILITY Hina Agha, Mba, Mphil Bahria University Karachi Campus, Pakistan Abstract The main purpose of this study is to empirically test the impact of working
More informationPermanent Link: http://espace.library.curtin.edu.au/r?func=dbin-jump-full&local_base=gen01-era02&object_id=137679
Citation: Salim, Ruhul A. and Bloch, Harry. 2007. Business expenditures on R&D and trade performances in Australia: is there a link? Applied Economics. 41 (3): pp. 351-361. Additional Information: If you
More informationThe effect of the stock exchange on economic growth: a case of the Zimbabwe stock exchange.
The effect of the stock exchange on economic growth: a case of the Zimbabwe stock exchange. Abstract: Jecheche Petros University of Zimbabwe This paper provides an empirical analysis of relationship between
More informationStock market booms and real economic activity: Is this time different?
International Review of Economics and Finance 9 (2000) 387 415 Stock market booms and real economic activity: Is this time different? Mathias Binswanger* Institute for Economics and the Environment, University
More informationImplied volatility transmissions between Thai and selected advanced stock markets
MPRA Munich Personal RePEc Archive Implied volatility transmissions between Thai and selected advanced stock markets Supachok Thakolsri and Yuthana Sethapramote and Komain Jiranyakul Public Enterprise
More informationStock Market Liberalizations: The South Asian Experience
Stock Market Liberalizations: The South Asian Experience Fazal Husain and Abdul Qayyum Pakistan Institute of Development Economics P. O. Box 1091, Islamabad PAKISTAN March 2005 I. Introduction Since 1980s
More informationDeterminants of Capital Structure in Developing Countries
Determinants of Capital Structure in Developing Countries Tugba Bas*, Gulnur Muradoglu** and Kate Phylaktis*** 1 Second draft: October 28, 2009 Abstract This study examines the determinants of capital
More informationSources of Economic Growth in China, 1952-1998 Hari Sharma, Trinity College *
Issues in Political Economy, Vol 17, August 2007 Sources of Economic Growth in China, 1952-1998 Hari Sharma, Trinity College * China has been growing at an average annual rate exceeding 9% for the past
More informationTHE IMPACT OF COMPANY INCOME TAX AND VALUE-ADDED TAX ON ECONOMIC GROWTH: EVIDENCE FROM NIGERIA
THE IMPACT OF COMPANY INCOME TAX AND VALUE-ADDED TAX ON ECONOMIC GROWTH: EVIDENCE FROM NIGERIA Dr. Lyndon M. Etale and Dr. Paymaster F. Bingilar Department of Finance and Accountancy, Faculty of Management
More informationChapter 6: Multivariate Cointegration Analysis
Chapter 6: Multivariate Cointegration Analysis 1 Contents: Lehrstuhl für Department Empirische of Wirtschaftsforschung Empirical Research and und Econometrics Ökonometrie VI. Multivariate Cointegration
More informationThe Effect of Infrastructure on Long Run Economic Growth
November, 2004 The Effect of Infrastructure on Long Run Economic Growth David Canning Harvard University and Peter Pedroni * Williams College --------------------------------------------------------------------------------------------------------------------
More informationTHE PROPERTY MARKET AND THE MACRO-ECONOMY
THE PROPERTY MARKET AND THE MACRO-ECONOMY In the wake of the Asian financial crisis, property prices in Hong Kong dropped sharply relative to prices of other goods and services by close to 50% between
More informationSentiment in Foreign Exchange Market Yanyan Yang Claremont Graduate University
Sentiment in Foreign Exchange Market Yanyan Yang Claremont Graduate University 2015 ISEO Summer School 6/24/15 1 Your Lecture with Prof. Arkerlof Outline Background Definition & Measurement of Sentiment
More informationCOURSES: 1. Short Course in Econometrics for the Practitioner (P000500) 2. Short Course in Econometric Analysis of Cointegration (P000537)
Get the latest knowledge from leading global experts. Financial Science Economics Economics Short Courses Presented by the Department of Economics, University of Pretoria WITH 2015 DATES www.ce.up.ac.za
More informationTHE STATE OF THE ECONOMY
THE STATE OF THE ECONOMY CARLY HARRISON Portland State University Following data revisions, the economy continues to grow steadily, but slowly, in line with expectations. Gross domestic product has increased,
More informationTHE IMPACT OF MACROECONOMIC FACTORS ON NON-PERFORMING LOANS IN THE REPUBLIC OF MOLDOVA
Abstract THE IMPACT OF MACROECONOMIC FACTORS ON NON-PERFORMING LOANS IN THE REPUBLIC OF MOLDOVA Dorina CLICHICI 44 Tatiana COLESNICOVA 45 The purpose of this research is to estimate the impact of several
More informationModelling Monetary Policy of the Bank of Russia
Modelling Monetary Policy of the Bank of Russia Yulia Vymyatnina Department of Economics European University at St.Peterbsurg Monetary Policy in central and Eastern Europe Tutzing, 8-10 July 2009 Outline
More informationRelationship between Commodity Prices and Exchange Rate in Light of Global Financial Crisis: Evidence from Australia
Relationship between Commodity Prices and Exchange Rate in Light of Global Financial Crisis: Evidence from Australia Omar K. M. R. Bashar and Sarkar Humayun Kabir Abstract This study seeks to identify
More informationDEMB Working Paper Series N. 53. What Drives US Inflation and Unemployment in the Long Run? Antonio Ribba* May 2015
DEMB Working Paper Series N. 53 What Drives US Inflation and Unemployment in the Long Run? Antonio Ribba* May 2015 *University of Modena and Reggio Emilia RECent (Center for Economic Research) Address:
More informationThe Life-Cycle Motive and Money Demand: Further Evidence. Abstract
The Life-Cycle Motive and Money Demand: Further Evidence Jan Tin Commerce Department Abstract This study takes a closer look at the relationship between money demand and the life-cycle motive using panel
More informationHousing finance in Italy
Housing finance in Italy Defining characteristics One of the salient features of the Italian housing market is the high rate of ownership. According to data from the 2001 census, 71% of Italian households
More informationStudy on the Working Capital Management Efficiency in Indian Leather Industry- An Empirical Analysis
Study on the Working Capital Management Efficiency in Indian Leather Industry- An Empirical Analysis Mr. N.Suresh Babu 1 Prof. G.V.Chalam 2 Research scholar Professor in Finance Dept. of Commerce and Business
More informationWhat are the Effects of Housing Prices and The Reit Index in Bulgaria on the Bulgarian Stock Exchange Index?
What are the Effects of Housing Prices and The Reit Index in Bulgaria on the Bulgarian Stock Exchange Index? TEODORA PETROVA I. Introduction In a recent speech about the financial market crisis in the
More informationTHE EFFECTS OF TRADE LIBERALIZATION ON THE ENVIRONMENT: AN EMPIRICAL STUDY
THE EFFECTS OF TRADE LIBERALIZATION ON THE ENVIRONMENT: AN EMPIRICAL STUDY GEOFF McCARNEY Graduate Student, Department of Rural Economy, University of Alberta, Edmonton AB T6G 2H1 Canada Email: mccarney@ualberta.ca
More informationUK GDP is the best predictor of UK GDP, literally.
UK GDP IS THE BEST PREDICTOR OF UK GDP, LITERALLY ERIK BRITTON AND DANNY GABAY 6 NOVEMBER 2009 UK GDP is the best predictor of UK GDP, literally. The ONS s preliminary estimate of UK GDP for the third
More informationThe Causal Relationship between Producer Price Index and Consumer Price Index: Empirical Evidence from Selected European Countries
The Causal Relationship between Producer Price Index and Consumer Price Index: Empirical Evidence from Selected European Countries Selçuk AKÇAY Afyon Kocatepe University, Faculty of Economics and Administrative
More information