INVESTIGATING THE CAUSAL RELATIONSHIP BETWEEN STOCK MARKET AND AGGREGATE ECONOMIC PERFORMANCE OF SOUTH AFRICA
Journal Title: Asian Economic and Financial Review - Year 2016, Vol 6, Issue 4
Abstract
Stock is one of the key securities traded in the capital markets and as such, has attracted the attention of researchers. While it is said to propel economic activities, empirical studies conducted on different countries present divergent outcomes. Thus, in this study we investigate the long-run and causal relationship between stock market and aggregate economic activities of South Africa using quarterly data from 1995Q1 to 2013Q4. We utilize the Augmented-Dickey Fuller (ADF) and Philips-Perron (PP)tests for unit root, the Johansen (1995) Maximum Likelihood cointegration technique and VEC Model. The study further employs Granger (1969) pair-wise causality test approach. It is noteworthy that the model variables have long-run relationship, but the causality test result suggests that non cause each other.
Authors and Affiliations
Eleanya K. Nduka*| Centre for the Study of the Economies of Africa (CSEA), Abuja, Nigeria, Ugochukwu E. Anigbogu| Department of Economics, University of Nigeria, Nsukka, Ishaku R. Nyiputen| Department of Economics, Federal University, Wukari, Taraba, Nigeria
Keywords
Related Articles
- EP ID EP2265
- DOI -
- Views 468
- Downloads 39
DOES MONETARY POLICY INFLUENCE ECONOMIC GROWTH IN NIGERIA?
This study examines the impact of monetary policy on economic growth in Nigeria.The study uses time-series data covering the range of 1975 to 2010.The effects of stochastic shocks of each of the endogenous variables are...
MUSLIM WOMEN ENTREPRENEURS’ MOTIVATION IN SMES: A QUANTITATIVE STUDY IN ASIA PACIFIC COUNTRIES
Women occupy nearly half of the working population. However, there are too many challenges for them to get engaged into a job as they have to sacrifice their time with their family. It is a norm and tradition for Asian P...
FINANCING OBSTACLES OF BANGLADESHI FIRMS: EVIDENCE FROM PRE-CRISIS AND POST-CRISIS PERIODS
Access to finance appears to be among the most severe obstacles of the private firms? growth particularly in developing and less developed countries. Using the micro data over 1,500 enterprises, our study aims to underst...
DEMOGRAPHIC AND SOCIOECONOMIC IMPACT ON RISK ATTITUDES OF THE INDIAN INVESTORS – AN EMPIRICAL STUDY
Investor behavior and investment activities are strongly influenced by the risk tolerance level of individual investors. International evidence suggests that lower risk tolerant investors are generally risk averse. Howev...
TECHNOLOGY TRANSFER AND FDI: SOME LESSONS FOR TUNISIA
The purpose of this article is to try to see if the FDI actually contributes to technology transfer in Tunisia or are there other sources that can guarantee this transfer? The answer to this problem was gradual as we fol...