scholarly journals A Note on Relationship between Economic Activity and Stock Market Development: a Case of Euro Area Countries

2017 ◽  
Vol 65 (6) ◽  
pp. 1953-1965
Author(s):  
Veronika Kajurová
Keyword(s):  
Stock Market ◽  
Economic Activity ◽  
Market Development ◽  
Vector Error Correction Model ◽  
Policy Makers ◽  
Correction Model ◽  
Stock Market Development ◽  
Vector Error Correction ◽  
Vector Error ◽  
Country Specific

The aim of the paper is to empirically examine if the causal relationship between economic activity and stock market development exists in the selected 11 EA countries. The existence of relationship is investigated with the use of cointegration, vector error correction model and Granger causality during three sub‑periods between January 1993 and January 2017. The results show that the general conclusion on the relation between activity and stock market development cannot be stated and that country‑specific development should be taken into account when making decisions either from the investors’ or policy makers’ perspective. It also seems that the level of integration plays important role when studying the nature of relationship between variables during different time periods.

scholarly journals Applying the vector error correction model (VECM) to analyze the relationship between economic growth and stock market development in Vietnam

2014 ◽  
Vol 17 (2) ◽  
pp. 73-84
Author(s):  
Nhung Thi Phuong Nguyen
Keyword(s):  
Economic Growth ◽  
Stock Market ◽  
Granger Causality ◽  
Market Development ◽  
Vector Error Correction Model ◽  
Correction Model ◽  
Stock Market Development ◽  
Vector Error Correction ◽  
Turnover Ratio ◽  
Vector Error

The paper researchs the cause-effect relationship between economic growth and stock market development in Vietnam by using vector error correction model (VECM). The results prove that there is a long-term relationship between Vietnamese economic growth and its stock market. Besides, the Granger causality test illustrates that there exists a unidirectional relationship which Vietnamese stock maket development will cause Granger - causality to the economic growth. Thanks to its market capitalization size, Vietnamese stock market performs its role in funding for the economy. But there is not enough evidence to conclude that the stock market’s liquidity and turnover ratio can cause Granger causality to its economic growth. The other findings show that there is only a small contribution ratio of the stock market to the economic growth by using variance decomposition of GDP. Finally, the paper also suggests some policies for Vietnamese Government in improving the stock market’s liquidity and turnover ratio to contribute to the economy in the future.

scholarly journals Analysis of Stock Market Integration Among ASEAN Countries by Using Vector Error Correction Model (VECM) Approach

2020 ◽  
Author(s):  
Reni Lestari
Keyword(s):  
Stock Market ◽  
Error Correction ◽  
Stock Exchange ◽  
Error Correction Model ◽  
Stock Index ◽  
Vector Error Correction Model ◽  
Correction Model ◽  
Vector Error Correction ◽  
Vector Error

Globalization has driven the economy of countries to relate to each other. It brings relationships in the capital among countries in the world, especially in ASEAN region countries. This study aimed to analyze the integration of the stock market among countries in the ASEAN region. The stock market was analyzed are the Indonesia Stock Exchange, Malaysia Stock Exchange, Singapore Stock Exchange, Thailand Stock Exchange, Vietnam Stock Exchange, and Philippine Stock Exchange. This study using the Vector Error Correction Model (VECM) as the method. The result of this study shows that, in the long term Singapore Stock Index (STI), Malaysia Stock Index (KLSE), Philippines (PSEi), and Indonesia Stock Index (JKSE) are positively correlated. This means the change of stock index price in one country will affect other related countries in the long term. In the short term of VECM estimation, found the Vietnam Stock Index (VNI), Singapore Stock Exchange (STI), Philippine (PSEi) are positively correlated and negatively correlated with Thailand Stock Exchange (SET). For the managerial implication, the result of this study is expected as a reference or basis of consideration of investment decisions. This because long-term stock market movements are important because they impact international portfolio management and risk diversification.

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