scholarly journals CAPITAL MARKET DEVELOPMENT AND ECONOMIC GROWTH IN NIGERIA

2021 ◽  
pp. 16-38
Keyword(s):  
Financial Development ◽  
Capital Market ◽  
Wald Test ◽  
Market Development ◽  
Var Models ◽  
Market Capitalization ◽  
Augmented Dickey Fuller ◽  
Vector Auto Regression ◽  
Stationarity Tests ◽  
Auto Regression

The motivation behind this study is to experimentally look at the connection between capital market improvement and monetary development in Nigeria. The examination investigated the Central Bank of Nigeria quarterly information from 1981Q1 to 2017Q4 with the E-sees programming bundle (variant 9.0). The Vector Auto Regression (VAR) procedure was utilized to investigate the information, while theory testing depended on the Block Exogeneity Wald test. The predetermined models included stationarity tests, diminished structure VAR gauge, and primary examination. The Augmented Dickey-Fuller Test demonstrates that the examination factors are fixed at first contrast or I(1). The VAR establishes plot corresponding to unit circle demonstrates that our predetermined diminished structure VAR models are steady. The Lagrange Multiplier (LM) symptomatic tests demonstrate that our predetermined VAR models are effectively indicated. The p-esteem shows that market capitalization proportion is critical in clarifying varieties in financial development (p = 0.0205). Notwithstanding, the worth of stock proportion and banking framework capitalization proportion is not huge in deciding the Real Gross Domestic Product in Nigeria. All in all, capital market advancement in Nigeria is worked with by vigorous market capitalization. Nonetheless, it is restricted by diminishing volume of stock and lessening banking framework capitalization. It is suggested that the monetary area ought to take on forceful capital market drives and vigorous monetary development approaches to support financial development in an arising economy.

The determinants of demand for tourism in Turkey: Does terror-threat matter? A Markov Regime Switching-VAR approach

2021 ◽  
Vol 71 (4) ◽  
pp. 587-607
Keyword(s):  
Exchange Rates ◽  
Regime Switching ◽  
Negative Impact ◽  
Income Level ◽  
Var Models ◽  
Short Term ◽  
Markov Regime Switching ◽  
Monthly Data ◽  
Vector Auto Regression ◽  
Auto Regression

Abstract This paper investigates the impacts of potential determinants of demand for tourism in Turkey through Markov Regime Switching-Vector Auto Regression (MS-VAR) estimations from 1999 to 2017 on monthly data. The determinants are income level, exchange rates and the threat of terror incidences. The terror variable, following the Global Terrorism Index (GTI) 2017 report, is calculated for Turkey by the author. This research has conducted two separate MS-VAR models to observe the relevant parameters’ signs of the demand for tourism function. Both MS-VAR models revealed that income level and exchange rates have positive influences on tourism while the terror threat has a negative impact on tourism in Turkey. Terror adversely affects the demand for tourism in the short-term in which terror has occurred in the nearest past (i.e., a month ago). The MS-VAR models also yield that a similar negative impact of terror on tourism activities does not appear over the longer periods.

scholarly journals Appraising Financial Development Indicators and Capital Market Performance

2020 ◽  
Vol 2 (1) ◽  
pp. 45-62
Author(s):  
Andrew Omosioni Agbada
Keyword(s):  
Financial Development ◽  
Capital Market ◽  
Survey Design ◽  
Market Performance ◽  
Primary Data ◽  
Financial Efficiency ◽  
Financial Access ◽  
Market Capitalization ◽  
Development Indicators ◽  
Financial Depth

This study appraised empirically Financial Development Indicators (FDIs) and Capital Market Performance in Nigeria. While Financial Depth, Financial Access and Financial Efficiency served as proxy for FDIs and independent variable; Market Capitalization was used as proxy for Capital Market Performance and the dependent variable. Primary data were sourced employing Survey design and analyzed using Pearson Product-Moment Correlation Coefficient, (PPMCC) technique denoted by ‘r’. The robustness of findings which showed that hypotheses one (H01) and two (H02) exhibited high coefficients and passed the test of significance led us to conclude that the variables: Financial Depth and Financial Access are relevant to policies formulated to affect Market Capitalization in Nigeria. However, hypothesis three (H03) portends rather low results suggesting that though a positive relationship exists between Financial Efficiency and Market Capitalization, the strength of relationship is moderate and cannot be considered too relevant to policies formulated to affect Market Capitalization in Nigeria. We therefore recommend that financial sector authorities and stakeholders should ensure that innovative facilities and policies that enable access to finance; that give ability to financial markets to imbibe large trade volumes be put instituted to facilitate proper development of the sector and that serious attention should be given to on-the-job-training, retraining and financial courses for employees to acquire industry knowledge of the job in order to enhance their performance.

scholarly journals Capital Market Linkage to Economic Growth in Nepal

2020 ◽  
Vol 4 (1) ◽  
pp. 43-56
Author(s):  
Jhabindra Pokharel
Keyword(s):  
Economic Growth ◽  
Capital Market ◽  
Time Series Data ◽  
Secondary Market ◽  
Market Development ◽  
Series Data ◽  
Individual Investors ◽  
Fair Price ◽  
Market Capitalization ◽  
The Capital Market

This article examines the causal relationship between capital market development and economic growth in Nepal using annual time series data from 1994-2019. Total market capitalization is used as a proxy of secondary market development and the total public issue of securities in a particular year is taken as an indicator of primary market development. Using the Johansen cointegration test and vector error correction method (VECM) in regression analysis, the study reveals that capital markets in Nepal are supporting economic growth through efficient fundraising, efficient allocation of resources, fair price determination and liquidity. The findings from this study conclude that there is a unidirectional causality running from capital market development to economic growth in both the long-run and short-run. However, this study found no support for causality running from economic growth to the capital market. Therefore, the findings from this study recommend policies that increase the reach of the capital market to small and medium enterprises (SMEs) and individual investors. Keywords: capital market, market capitalization, primary market, economic growth, Nepal

scholarly journals Sensitivity of Capital Market Development to Public Debt in Nigeria

2016 ◽  
Vol 7 (3) ◽  
pp. 213
Author(s):  
Kalu Onwukwe Emenike ◽  
Ugwueze Christian Amu ◽  
Ezeji Emmanuel Chigbu
Keyword(s):  
Capital Market ◽  
Public Debt ◽  
Descriptive Analysis ◽  
Unit Root Test ◽  
Debt Management ◽  
Market Development ◽  
Significance Level ◽  
Market Capitalization ◽  
Domestic Debt ◽  
Integration Techniques

This article investigated the sensitivity of capital market development to public debt in Nigeria using descriptive statistic, regression analysis, and the Engle-Granger co integration techniques for the period ranging from 1981 to 2014. The estimates from the descriptive analysis showed that both the market capitalization and public debt series were not normally distributed at 5% significance level. The ADF unit root test showed that the market capitalization and public debt series were integrated of order one (i.e., I (1)). The results from the regression model provide evidence to show that capital market development is not sensitive to domestic debt at any conventional level, but it is sensitive to external debt at 10% significance level. The estimates of the Engle-Granger co integration tests show that capital market development is not co integrated with public debt. It is recommended that capital market and debt management authorities should formulate policies will enhance linkage between the markets.

scholarly journals Financial development and economic growth in developing countries: evidence from Saudi Arabia

2014 ◽  
Vol 11 (2) ◽  
pp. 718-742
Author(s):  
Meshaal J. Alshammary
Keyword(s):  
Economic Growth ◽  
Stock Market ◽  
Capital Market ◽  
Small And Medium Enterprises ◽  
Market Development ◽  
Gdp Growth ◽  
Var Models ◽  
Real Gdp ◽  
Medium Enterprises

This study investigates the long-term and short-term relationships between capital market development and economic growth in the Kingdom of Saudi Arabia (KSA) for the period from January 1993 to December 2009. It employs a wide range of vector autoregression (VAR) models to evaluate the importance and impact of capital market development on economic growth. We used real GDP growth rates and None Oil GDP as proxies for economic growth and the stock market index (SMI), the bank credits to the private sector (BCP) and the broad money supply (M2) as proxies for the capital market development. The VAR models indicate a positive and significant long-term causal relationship between capital market development and economic growth. Granger causality tests show that economic growth Granger-cause capital market development and vice versa when using the real GDP growth rate variables. The study implications are as follows. Firstly, investment in real economic activities leads to economic growth. Secondly, the stock market might hinder economic growth due to its volatile and international risk sharing nature, low free-floating share ratio, number of listed companies and the domination of Saudi Individual Stock Trades (SIST) characteristics. Thirdly, policymakers should seek to minimise stock market volatility and fluctuations, increase both the free-floating share ratio and number of listed companies and shift investment domination toward corporate investors by considering its effect on economic growth when formulating economic policies. Fourthly, the banking sector might hinder economic growth due to its lack of small and medium enterprises lending and shareholder concentration issues. Finally, policymakers should seek to encourage banks toward more involvement in small and medium enterprises SMEs’ lending, which will strengthen the private sector role.

scholarly journals Financial Development and Economic Growth in the WAEMU Zone: A Causality Analysis according to Granger

2016 ◽  
Vol 8 (10) ◽  
pp. 60
Author(s):  
Zahore Gnoleba Martin
Keyword(s):  
Economic Growth ◽  
Present Article ◽  
Financial Development ◽  
Causality Analysis ◽  
Financial Systems ◽  
Regression Test ◽  
Vector Auto Regression ◽  
Set Up ◽  
Auto Regression

<p class="p1">The present article deals with the empirical links between the financial development and the economic growth in the WAEMU zone. The sample includes eight countries and concerns the period 1990-2014. The study is based on the VAR approach (Vector auto regression), test of co-integration of Johansen and models with correction of error of the integrated variables. The results suggest that the financial development and the economic growth are co-integrated. Besides these relations are characterized by causality in the sense of Granger unidirectional going from the financial development towards the economic growth. These results show that the countries of the WAEMU zone have to set up appropriate measures to booster the development of their financial systems.</p>

scholarly journals Hubungan Kausalitas Antara Sektor Keuangan Dan Sektor Riil di Indonesia

2019 ◽  
Vol 11 (1) ◽  
pp. 44-60
Author(s):  
Fransisca Bernadetta Gunawan
Keyword(s):  
Capital Market ◽  
Banking Sector ◽  
Financial Sector ◽  
Real Sector ◽  
Economic Activities ◽  
Strong Connection ◽  
The Real ◽  
Vector Auto Regression ◽  
Relationship Of ◽  
Auto Regression

Economic activities in the real sector is very important, because it has a strong connection with consumption, jobs, and income. The financial sector has the important task to be an intermediary to facilitate the real sector for obtaining funds. The purpose of this study is to see the causal relationship of the financial sector with the real sector of Indonesia from 1986-2015. By using the VAR (Vector Auto Regression) method, the results show that unemployment and banking sector, unemployment and capital market as well as GDP and banking sector have bi-directional causality pattern, whereas capital market and GDP in Indonesia has a one-way causality pattern. Keywords: Financial Sector, Real Sector, VAR

scholarly journals CREDIT-RELATED SHOCKS IN VAR MODELS: THE CASE OF LITHUANIA

Ekonomika ◽  
2018 ◽  
Vol 96 (3) ◽  
pp. 7-19
Author(s):  
Tomas Reichenbachas
Keyword(s):  
Credit Market ◽  
Credit Spread ◽  
Var Models ◽  
Credit Supply ◽  
Supply Shocks ◽  
Vector Auto Regression ◽  
The Business Cycle ◽  
Market Variables ◽  
Sign Restriction ◽  
Auto Regression

This article provides empirical evidence on the role played by credit-related shocks over the business cycle in Lithuania. To this end, we estimate a vector auto regression (VAR) with credit and housing variables and identify credit-related shocks. Using sign restriction, we identify credit supply shocks; while using zero restrictions, we identify credit spread shocks. We find evidence that credit-related shocks have a significant effect on housing and credit market variables, while the effect on GDP is less pronounced but still significant. While credit supply shocks weighed down on economic growth during the period from 2008 to 2014, the effect turned positive in 2014.

scholarly journals ANALISIS INTEGRASI PASAR MODAL INDONESIA DENGAN PASAR MODAL GLOBAL (NYSE, SSE, LSE, DAN PSE)

2020 ◽  
Vol 7 (3) ◽  
Author(s):  
Riadiani Anastasia Tiwang ◽  
Herman Karamoy ◽  
Joubert Maramis
Keyword(s):  
Capital Market ◽  
Stock Price ◽  
Price Index ◽  
The United States ◽  
Analysis Tool ◽  
Analysis Technique ◽  
Closing Price ◽  
Vector Auto Regression ◽  
Stock Price Index ◽  
Auto Regression

Abstract : The existence of economic globalization makes the economies of the countries in the world depend on each other economically. Thus, economic events in one country will inevitably have an impact on economic performance in other countries. The purpose of this study was to analyze whether there is a relationship between the IHSG and the NYSE, LSE, SSE, and PSE. This study uses Vector Auto Regression (VAR) analysis technique and as an analysis tool is the Eviews 9 software.The population in this study is the global capital market stock price index at closing price, so the sample used is the monthly stock price index of the United States capital market. China, United Kingdom, Philippines and Indonesia for the period January 2013 to December 2018 so there are 72 data. The results showed that there was no relationship between NYSE, SSE, LSE, and PSE with the IHSG. Abstrak: Adanya globalisasi ekonomi membuat perekonomian negara-negara di dunia bergantung satu sama lain secara ekonomi. Sehingga, peristiwa ekonomi di suatu negara pasti akan berdampak pada kinerja ekonomi di negara-negara lainnya. Tujuan penelitian ini adalah untuk menganalisis apakah terdapat hubungan antara IHSG dengan NYSE, LSE, SSE, dan PSE. Penelitian ini menggunakan teknik analisis Vector Auto Regression (VAR) dan sebagai alat analisis adalah software Eviews 9. Populasi dalam penelitian ini adalah indeks harga saham pasar modal global pada saat closing price, dan sampel yang digunakan adalah indeks harga saham bulanan pasar modal Amerika Serikat, Cina, Inggris, Filipina dan Indonesia periode Januari tahun 2013 sampai dengan Desember tahun 2018 yang terdapat 72 data. Hasil penelitian menunjukan bahwa tidak ada hubungan antara NYSE, SSE, LSE, dan PSE dengan IHSG. 

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