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 471
- Downloads 39
AN ANALYSIS OF INTEREST AND EXCHANGE RATES EFFECT ON THE NIGERIAN ECONOMY: 1975 – 2008
The study examines the impact of interest and exchange rates on the Nigerian economy from 1975-2008. Data for the variables were collected from the CBN statistical bulletin. The study employs the ordinary least square (O...
THE SUSTAINABILITY OF FISCAL ADJUSTMENT PROCESS : A QUANTITATIVE APPROACH WITH AN APPLICATION TO TUNISIA
This study is a contribution to the literature concerning the sustainability of fiscal deficits in emerging economies. A novelty in this article is an attempt to check the sustainability of fiscal adjustment process moni...
EFFICIENCY OF MOISTURE STRESS RISK COPING STRATEGIES IN NORTH EASTERN ETHIOPIA: APPLICATION OF MEAN-VARIANCE EFFICIENCY ANALYSIS
This research investigated the efficiency of the crop enterprise mix farmers formulate to cope with moisture stress risk given the different constraints they are living with. Farmers’ moisture risk coping strategies are...
INFORMAL CAPITAL MARKET AND ENVIRONMENTAL FACTORS IN NIGERIA
Our environments are closely instutionalized with collections of human and material resources for the purpose of economic production and profitability. It was based on this premise that, this study sought to examine the...
THE CONSUMER LOAN’S PAYMENT DEFAULT PREDICTIVE MODEL: AN APPLICATION IN A TUNISIAN COMMERCIAL BANK
For the alarming growth in consumer credit in recent years, consumer credit scoring is the term used to describe methods of classifying credits? applicants as `good? and `bad? risk classes.. In the current paper, we use...