BazEkon - Biblioteka Główna Uniwersytetu Ekonomicznego w Krakowie

BazEkon home page

Meny główne

Autor
Ho Sin-Yu (University of South Africa, South Africa), Iyke Bernard Njindan (University of South Africa, South Africa)
Tytuł
On the Causal Links between the Stock Market and the Economy of Hong Kong
Źródło
Contemporary Economics, 2017, vol. 11, nr 3, s. 343-362, rys., tab., aneks, bibliogr. 61 poz.
Słowa kluczowe
Rynki giełdowe, Gospodarka, Przyczynowość, Wyniki gospodarcze
Stock markets, Economy, Causality, Economic performance
Uwagi
Klasyfikacja JEL: E44, C32
summ.
Kraj/Region
Hongkong
Hong Kong
Abstrakt
A bulk of literature has identified the major economic drivers of Hong Kong's rapid and steady economic performance over the last three decades. Of the major economic drivers identified, the performance of the stock market has received less attention. This paper examines the causal links between the stock market performance and economic performance of Hong Kong in an augmented VAR setting. Using an extended quarterly dataset that covers the period of 1986Q2-2014Q4 and the Toda-Yamamoto causality test, we find that stock market performance as proxied by the market capitalization ratio and economic performance stimulate each other. In addition, stock market performance as proxied by the total value traded ratio and economic performance influence each other. However, the causal links between stock market performance and economic performance dissipate if stock market performance is proxied by the turnover ratio. This finding suggests that the causal links between stock market performance and economic performance are highly dependent on the proxy used for stock market performance in the case of Hong Kong. (original abstract)
Pełny tekst
Pokaż
Bibliografia
Pokaż
  1. Arestis P. & Demetriades P. (1997). Financial development and economic growth: Assessing the evidence. The Economic Journal, 107(442), 783-799.
  2. Arestis P., Demetriades P.O., & Luintel K.B. (2001). Financial development and economic growth: The role of stock markets. Journal of Money, Credit and Banking, 33(1), 16-41.
  3. Atje R. & Jovanovic B. (1993). Stock market and development. European Economic Review 37(2-3), 623-640.
  4. Beck T. & Levine R. (2004). Stock markets, banks and growth: Panel evidence. Journal of Banking and Finance, 28(3), 423-442.
  5. Bencivenga V.R., Smith B.D., & Starr R.M. (1996). Equity markets, transactions costs, and capital accumulation: An illustration. World Bank Economic Review, 10(2), 241-65.
  6. Boyd J.H., Levine R., & Smith B.D. (2001). The impact of inflation on financial market performance. Journal of Monetary Economics, 47(2), 221-248.
  7. Caner M. & Kilian L. (2001). Size distortion of tests of the null hypothesis of stationarity: Evidence and implication for the PPP debate. Journal of International Money and Finance, 20, 639-657.
  8. Census and Statistics Department of Hong Kong. (2017, August 11). Gross Domestic Product (GDP), implicit price deflator of GDP and per capita GDP. Available from http://www.censtatd.gov.hk/hong_kong_statistics/statistical_tables/index.jsp?tableID=030
  9. Cheng S.Y. (2012). Substitution or complementary effects between banking and stock markets: Evidence from financial openness in Taiwan. Journal of International Financial Markets, Institutions and Money, 22(3), 508-520.
  10. Deb S.G. & Mukherjee J. (2008). Does stock market development cause economic growth? A time series analysis for Indian economy. International Research Journal of Finance and Economics, 21, 142-149.
  11. DeLong J.B., Schleifer A., Summers L.H., & Waldmann R.J. (1989). The size and incidence of the losses from noise trading. Journal of Finance, 44(3), 681-96.
  12. Demirgüc-Kunt A., & Levine R. (1996). Stock markets, corporate finance, and economic growth: An overview. World Bank Economic Review, 10(2), 223-39.
  13. Elliot G., Rothenberg T.J., & Stock J.H. (1996). Efficient tests for an autoregressive unit root. Econometrica, 64(4), 813-836.
  14. Enisan A.A., & Olufisayo A.O. (2009). Stock market development and economic growth: Evidence from seven sub-Sahara African countries. Journal of Economics and Business, 61(2), 162-171.
  15. Engle R.F., & Granger C.W.J. (1987). Cointegration and error correction: Representation, estimation, and testing. Econometrica, 55(2), 251-276.
  16. Ernst and Young. (2013). EY global IPO trends. Retrieved from http://www.ey.com/Publication/vwLUAssets/EY_-_Global_IPO_Trends_Q4_2013/$FILE/EYGlobal-IPO-Trends-Q4-2013.pdf
  17. Ghosh S.R. (2006). East Asian finance: The road to robust markets. Washington, DC: World Bank.
  18. Granger C.W.J. (1969). Investigating causal relations by econometric models and cross-spectral methods. Econometrica, 37(3), 424-438.
  19. Greenwood J. & Smith B. (1997). Financial markets in development and the development of financial markets. Journal of Economic Dynamics and Control, 21(1), 145-82.
  20. Harris R.D.F. (1997). Stock market and development: A re-assessment. European Economic Review, 41(1), 139-146.
  21. He Z. & Maekawa K. (2001). On spurious granger causality. Economic Letters, 73(3), 307-313.
  22. Hondroyiannis G., Lolos S., & Papapetrou E. (2005). Financial markets and economic growth in Greece, 1986-1999. Journal of International Financial Markets, Institutions and Money, 15(2), 173-188.
  23. Hong Kong Exchanges and Clearing Limited. (1999). Hong Kong Exchange Fact Book. Retrieved from http://www.hkex.com.hk/eng/stat/statrpt/factbook/1999/FB_1999.pdf
  24. Hong Kong Exchanges and Clearing Limited. (2011, May). A Glimpse of the Past, Hong Kong. Available from https://docslide.com.br/download/link/l07-hk-stock-exchangea-glimpse-of-the-past
  25. Hong Kong Exchanges and Clearing Limited. (2013). Hong Kong Exchange Fact Book, Hong Kong. Available from http://www.hkex.com.hk/eng/stat/statrpt/factbook/factbook2013/fb2013.htm
  26. Hong Kong Exchanges and Clearing Limited. (2015a). History of HKEX and its market. Available from http://www.hkexgroup.com/eng/abouthkexgroup/history.htm
  27. Hong Kong Exchanges and Clearing Limited. (2015b). Securities Statistics Archive. Available from http://www.hkex.com.hk/eng/stat/smstat/statarch/statarchive.htm
  28. Hsiao C. (2005). Why Panel Data? Singapore Economic Review, 50(2), 143-154.
  29. Jao Y.C. (2003). Financial Reform in Hong Kong. In: Maximilian J.B. Hall (ed.), The International Handbook on Financial Reform (pp. 113-130), Cheltenham: Edward Elgar Publishing.
  30. Jeffus W.M. (2004). FDI and stock market development in selected Latin American countries. International Finance Review, 5, 35-44.
  31. Jensen M.C., & Murphy K.J. (1990). Performance pay and top management incentives. Journal of Political Economy, 98(2), 225-64.
  32. Johansen S. (1991). Estimation and hypothesis testing of cointegration vectors in Gaussian vector autoregressive models. Econometrica, 59(6), 1551-1580.
  33. Johansen S. & Juselius K. (1990). Maximum likelihood estimation and inference on cointegration with applications to the demand for money. Oxford Bulletin of Economics and Statistics, 52(2), 169-210.
  34. Kramer G.H. (1983). The ecological fallacy revisited: Aggregate versus individual-level findings on economics and elections and sociotropic voting. The American Political Science Review, 77(1), 92-111.
  35. Lee J. & Poon J. (2005, November). Alternative measures of the size of the stock market (Research Paper No. 27). Research Department of the Supervision of Markets Division.
  36. Levine R. (1991). Stock markets, growth, and tax policy. Journal of Finance, 46(4), 1445-1465.
  37. Levine R. & Zervos S. (1996). Stock market development and long run growth. World Bank Economic Review, 10(2), 323-339.
  38. Levine R. & Zervos S. (1998). Stock markets, banks and economic growth. The American Economic Review, 88(3), 537-58.
  39. MacKinnon J.G. (1996). Numerical distribution functions for unit root and cointegration tests. Journal of Applied Econometrics, 11(6), 601-618.
  40. MacKinnon J.G., Haug A.A., & Michelis L. (1999). Numerical distribution functions of likelihood ratio tests for cointegration. Journal of Applied Econometrics, 14(5), 563-577.
  41. Malik I.A. & Amjad S. (2013). Foreign direct investment and stock market development in Pakistan. Journal of International Trade Law and Policy, 12(3), 226- 242.
  42. Marques L.M., Fuinhas J.A., & Marques A.C. (2013). Does the stock market cause economic growth? Portuguese evidence of economic regime change. Economic Modelling, 32, 316-324.
  43. Masoud N. & Hardaker G. (2012). The impact of financial development on economic growth: Empirical analysis of emerging market countries Studies in Economics and Finance, 29(3), 148-173.
  44. Minier J. (2003). Are small stock markets different? Journal of Monetary Economics, 50(7), 1593-1602.
  45. Naik P.K. & Padhi P. (2015). On the linkage between stock market development and economic growth in emerging market economies. Dynamic panel evidence. Review of Accounting and Finance, 14(4), 363- 381.
  46. Obstfeld M. (1994). Risk-taking, global diversification, and growth. The American Economic Review, 84(5), 1310-1329.
  47. Perron P. (1989). The great crash, the oil price shock, and the unit root hypothesis. Econometrica, 57(6), 1361-1401.
  48. Perron P. (1997). Further evidence on breaking trend functions in macroeconomic variables. Journal of Econometrics, 80(2), 355-385.
  49. Phillips P.C.B. & Ouliaris S. (1990). Asymptotic properties of residual based tests for cointegration. Econometrica, 58(1), 165-193.
  50. Phiri A. (2015). Asymmetric cointegration and causality effects between financial development and economic growth in South Africa. Studies in Economics and Finance, 32(4), 464- 484.
  51. Rioja F.K. & Valev N.T. (2004). Finance and the sources of growth at various stages of economic development. Economic Inquiry, 42(1), 127-140.
  52. Rousseau P.L. & Wachtel P. (2000). Equity markets and growth: Cross-country evidence on timing and outcomes, 1980-1995. Journal of Business & Finance, 24(12), 1933-1957.
  53. Schwert G.W. (1986). Test for unit roots: A Monte Carlo investigation. Journal of Business and Economic Statistics, 7(2), 147-159.
  54. Sehrawat M. & Giri A.K. (2015). Financial development and economic growth: empirical evidence from India. Studies in Economics and Finance, 32(3), 340- 356.
  55. Singh A. (1997). Financial liberalization, stock markets and economic development. The Economic Journal, 107(442), 771-782.
  56. Toda H.Y. and Yamamoto T. (1995). Statistical inference in vector autoregressions with possibly integrated processes. Journal of Econometrics, 66(1-2), 225-250.
  57. Tsang S. (2004). A Modern History of Hong Kong. London, UK: I.B. Tauris & Co Ltd.
  58. World Federation of Exchanges. (2015). The Global Voice in a Global Conversation. Available from http://www.world-exchanges.org
  59. The World Bank. (2014). World Development Indicators. Available from http://data.worldbank.org/data-catalog/world-development-indicators
  60. Yamada H. (1998). A note on the causality between exports and productivity: An empirical re-examination. Economics Letters, 61(1), 111-114.
  61. Zivot E. & Andrews D.W.K. (1992). Further evidence on the great crash, the oil-price shock, and the unit-root hypothesis. Journal of Business and Economic Statistics, 10(3), 251-270.
Cytowane przez
Pokaż
ISSN
2084-0845
Język
eng
URI / DOI
http://dx.doi.org/10.5709/ce.1897-9254.247
Udostępnij na Facebooku Udostępnij na Twitterze Udostępnij na Google+ Udostępnij na Pinterest Udostępnij na LinkedIn Wyślij znajomemu