What drives stock market development in emerging markets—institutions, remittances, or natural resources?

Billmeier, Andreas; Massa, Isabella

doi:10.1016/j.ememar.2008.10.005

Cited by 111 publications

(67 citation statements)

References 31 publications

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“…For example, Park and Ratti (2008) found that the relationship between oil price shocks and financial markets is adverse in oilimporting economies, while that for oil-exporting economies is positive. Similar results have been found by Billmeier and Massa (2009), who examined both oil-importing and oil-exporting countries.…”

Section: Literature Reviewsupporting

confidence: 76%

Dynamics of oil price shocks and stock market behavior in Pakistan: evidence from the 2007 financial crisis period

Jebran

Chen

Saeed³

et al. 2017

Financ Innov

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Background: The aim of this study is to investigate the effect of the oil price and its volatility on the stock market of Pakistan before and after the 2007 financial crisis period. Methods: The analyses are carried out on daily data for the period from July 31, 2000 to July 31, 2014. This study uses several econometric techniques for the analyses, namely, the Johansen-Juselius cointegration test, generalized autoregressive conditional heteroskedasticity (GARCH) model, exponential generalized autoregressive conditional heteroskedasticity (EGARCH) model, variance decomposition method, and impulse response function. Results: The results of the cointegration method indicate a significant long-run association between stock market and oil prices in the pre-crisis period. The EGARCH model shows that oil price returns have a significant effect on stock market returns in both sub-periods, while the result for the GARCH model is significant only in the postcrisis period. We find a significant effect of oil price volatility on the stock market in both sub-periods from the GARCH model. Furthermore, the EGARCH model shows an asymmetric effect of oil price volatility on the stock market in the pre-crisis period. Variance decomposition shows that stock market variations are mostly explained by selfinnovation. Moreover, the impulse response function results show that oil price shocks affected the stock market adversely in the pre-crisis period but positively in the postcrisis period. Conclusions: This study suggests that economic policymakers and investors should consider the oil price as an important factor affecting stock market returns.

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Section: Literature Reviewsupporting

confidence: 76%

Dynamics of oil price shocks and stock market behavior in Pakistan: evidence from the 2007 financial crisis period

Jebran

Chen

Saeed³

et al. 2017

Financ Innov

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“…He found no causal relationship between Indian stock market and economic growth. Billmeier and Massa (2009) Using panel data, Cherif and Gazdar (2010) investigated the impact of macroeconomic determinants and institutional standart on stock market development. The study covered data of 18 years of fourteen MENA countries.…”

Section: Literature Reviewmentioning

confidence: 99%

The Macroeconomic Determinants of Stock Market Development in Selected European Countries: Dynamic Panel Data Analysis

Şükrüoğlu¹,

Nalın²

2014

IJEF

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This paper is concerned with the effects of macroeconomic variables and their role in development of stock market in selected Europen countries by estimating a dynamic panel data for the period of 1995-2011. We found that income, monetazation ratio, liquidity ratio, saving rate and inflation effect on stock market development. Monetazation ratio and inflation have negative effects while income, liquidity ratio, saving rate have positive effects on stock market development. Liquidity ratio emphasizes that the stock market liquidity help to improve stock market development. Furthermore, income and saving rate are correlated with stock market growth.

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“…Billmeier and Massa (2009) show that remittances contribute significantly to stock market development, especially in countries without a sizeable natural-resource endowment. Aggarwal et al (2011) provide strong evidence that remittances improve bank deposits and, to a slightly lesser extent, credit to the private sector, after accounting for a variety of sources for endogeneity and reversecausality.…”

mentioning

confidence: 99%

Determinants of Financial Development Across the Mediterranean

Ayadi

Arbak

Naceur

et al. 2014

Economic and Social Development of the Southern and Eastern Mediterranean Countries

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A well-developed financial system is instrumental in attaining sustainable and balanced growth. It increases the availability of funding by mobilizing idle savings, facilitating transactions, and attracting foreign investments. Such markets can achieve an improved allocation of financial resources and enhanced risk management, transparency, and corporate governance practices. Moreover, developed financial systems can ease the availability of some credit to more opaque businesses, such as first-time or low-income (and low-collateral) borrowers or SME. In short, FD can serve to improve not only the growth prospects but also the distribution of economic opportunities.The economics literature has identified a number of determinants that contribute to a more developed financial system. Among these determinants, the institutional and regulatory preconditions are perhaps the most studied factors underlying a well-functioning financial system. Starting with the seminal contribution of La Porta et al. (1997), many studies have found that FD is stronger when institutions that protect and match the needs of investors are present (see Demirguc-Kunt and Levine 2008 for a literature review).

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What drives stock market development in emerging markets—institutions, remittances, or natural resources?

Cited by 111 publications

References 31 publications

Dynamics of oil price shocks and stock market behavior in Pakistan: evidence from the 2007 financial crisis period

Dynamics of oil price shocks and stock market behavior in Pakistan: evidence from the 2007 financial crisis period

The Macroeconomic Determinants of Stock Market Development in Selected European Countries: Dynamic Panel Data Analysis

Determinants of Financial Development Across the Mediterranean

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