scholarly journals Money Supply and Stock Prices – A Case Study of Nigeria

2021 ◽  
Vol 04 (10) ◽  
Author(s):  
Dr. Ogbonna Udochukwu Godfrey ◽  
Keyword(s):  
Money Supply ◽  
Stock Prices ◽  
Stock Exchange ◽  
Market Price ◽  
Unit Root Test ◽  
Causality Test ◽  
Long Run ◽  
Augmented Dickey Fuller ◽  
Short Run ◽  
The Relationship

This study examined the relationship between money supply and stock prices, using E-view version 10. The empirical results of the Augmented Dickey Fuller (ADF) unit root test at 5 percent critical levels indicates that all the variables (M2 and MCAP) were not stationary at levels. However, all the variables became stationary after first differencing. Hence, the variables are of the same order of integration I (1). A cointegration test tells us that there exists a long run relationship between or among the variables and that they will not wander far apart away even though on the short run they exhibit random walk behavior. The Vector Error Correction test shows that Money supply (M2) has a significant relationship with market capitalization of the Nigerian stock exchange. The value of the Adjusted R-Squared of 0.726710 implies that Money supply (M2) explained about 72.67% systematic variations in the dependent variable (MCAP) over the observed years while the remaining 27.33% variations are explained by other determining variables outside the model. In order to further establish the relationship between money supply and stock market price, a granger causality test was carried out and it was established that there is a bi-directional causality between money supply and stock prices. The researcher therefore recommends that there should be collaboration among agencies of government in charge of money supply and stock exchange in order to make sure that sound policies are made to achieve the objective of government. Furthermore, that there should be a deliberate and concerted policy and effort to improve the Nigerian stock exchange market in line with other stock exchanges of the world, since stock prices cause money supply and vice versa.

scholarly journals Capital Market And The Transmission Channel Of The Monetary Policy: An Empirical Evidence On The Money View

2010 ◽  
Vol 9 (9) ◽  
Author(s):  
Caroline Geetha
Keyword(s):  
Money Supply ◽  
Stock Prices ◽  
Stock Exchange ◽  
Monetary Transmission ◽  
Kuala Lumpur ◽  
Monthly Bulletin ◽  
Monthly Data ◽  
Long Run ◽  
Short Run ◽  
The Relationship

The aim of this study is to find the relationship between the monetary transmission channels with the stock prices.  The study utilizes the monthly data from 1990 to 2001 obtained from the Kuala Lumpur Stock Exchange Report and the monthly bulletin of the Central Bank of Malaysia.  The result revealed that all the variables are non-stationary at the level form and stationary at the first difference.  The Johansen Cointegration revealed that a long-run relationship does exist for the unanticipated changes in money supply, unlike the anticipated changes in money supply that only established a short-run relationship with stock prices.  This is due to the level of monetization that is unable to eliminate the excess in the money market in the long run. 

scholarly journals The Relationships between Exchange Rates and Stock Prices: Empirical Investigation from Johannesburg Stock Exchange

2019 ◽  
Author(s):  
Md. Mahmudul Alam ◽  
Gazi Salah Uddin ◽  
Khan Md. Raziuddin Taufique
Keyword(s):  
Exchange Rate ◽  
Market Efficiency ◽  
Stock Prices ◽  
Stock Exchange ◽  
Unit Root Test ◽  
Rate Sensitivity ◽  
Causality Test ◽  
Johannesburg Stock Exchange ◽  
Long Run ◽  
Adf Test

This study seeks evidence supporting the existence of market efficiency and exchange rate sensitivity on stock prices in the Johannesburg stock exchange (JSE). The sample includes the daily price indices of all securities listed on the JSE, and the exchange rate of the USD/Rand for the period since January 2000 to December 2004. The results from the unit root test, the ADF test and the causality test at the Granger sense provide evidence that the Johannesburg stock exchange (JSE) is informationally efficient. It has a long run comovement with exchange rate, and long run equilibrium or steady state. Hence, in JSE there is a strong possibility that foreign direct investors and forex market traders cannot influence and gain abnormal extra benefits by using exchange rate mechanism or by using exchange rate to forecast stock prices in the market. So, JSE is semi-strong form efficient. Through cointegration test, this paper gives more insight on the concept of market efficiency and the reliability of the results. These results are important to security analysts, investors, and security regulatory exchange bodies in policy making decision to improve the market conditions

scholarly journals Money Supply, Inflation and Economic Growth: Co-Integration and Causality Analysis

2020 ◽  
Vol 65 (2) ◽  
pp. 29-45
Author(s):  
Ayad Hicham
Keyword(s):  
Economic Growth ◽  
Money Supply ◽  
Structural Breaks ◽  
Inflation Rate ◽  
Causality Analysis ◽  
Causality Test ◽  
Long Run ◽  
Short Run ◽  
The Relationship ◽  
Natural Series

AbstractThe aim of this paper is to examine the relationship between money supply, inflation rate, and economic growth in the context of Algeria, using various econometric procedures as co-integration without and with structural breaks in addition to three different ways of causality test for the period 1970-2018, the results confirm the long-run relationship between the variables with more than three structural breaks, but with the absence of the effects of money supply and inflation rate on economic growth both in short run and long run terms, on the other hand, the causality results confirmed the existence of hidden causalities among the variables running from the cumulative components not from the natural series, and all the results support the Monetarist view of inflation though the absence of any effect of money supply on economic growth.

scholarly journals Co-Integration between Stock Prices and Exchange Rate of Selected SAARC Countries: An Empirical Study

2016 ◽  
Vol 3 (1) ◽  
pp. 82
Author(s):  
Sumaira Channa ◽  
Pervaiz Ahmed Memon ◽  
Muhammad Ramzan Kalhoro
Keyword(s):  
Exchange Rates ◽  
Stock Prices ◽  
Stock Price ◽  
Policy Implications ◽  
Feedback Effects ◽  
Long Run ◽  
Integration Test ◽  
Augmented Dickey Fuller ◽  
Short Run ◽  
The Relationship

This study examines the relationship between stock prices and exchange rates of three selected SAARC countries including Pakistan, India and Srilanka; using monthly data from period of January 1999 to December 2015. This study employs statistical techniques of Augmented Dickey Fuller (ADF), Phillips Perron (PP), unit root tests, and Johansen’s Co-integration test to determine long run equilibrium association ship between stock price indices and exchange rates. The study finds out no Co-integration between the two variables, hence no long run association is existing between them. This finding implies that investors in these markets are having more opportunities for diversifying their portfolios. However, using Granger Causality and impulse response tests, it finds significant short-run feedback effects, as stock prices Granger cause exchange rates in case of Pakistan and unidirectional causality flows from exchange rates to stock prices in case of Srilanka but no proof of causality running in either direction in case of India. Hence the findings for Pakistan and Srilanka have crucial policy implications.

scholarly journals Impact of Macroeconomic Variables on Small, Mid and Large Cap Stocks: A Comparative Study of India Using VAR Approach

2018 ◽  
Vol 5 (01) ◽  
Author(s):  
Shukrant Jagotra ◽  
Amanpreet Singh
Keyword(s):  
Exchange Rate ◽  
Money Supply ◽  
Stock Prices ◽  
Wholesale Price ◽  
Causality Test ◽  
Macroeconomic Variables ◽  
Wholesale Price Index ◽  
Augmented Dickey Fuller ◽  
Short Run ◽  
Indian Stock Market

The study examines and compares the relationships between Indian stock market indices (BSE Small, Mid and Large Cap) and five macroeconomic variables (Index of Industrial Production, Wholesale Price Index, Money Supply M3, Exchange Rate and Call Money Rate) over the period April 2006 to March 2017. The study applies Augmented-Dickey Fuller test to test the data stationarity. The analysis reveals that data is neither found to be stationary at level nor co-integrated. Hence, the study applies unrestricted Vector Autoregression (VAR) model to establish the short-run relationships. It is observed that macroeconomic variables significantly impact stock prices depending upon the type of index. As per the Granger Causality test, the study found unidirectional relationship from Exchange Rate to BSE Small Cap; unidirectional relationship from Exchange Rate to BSE Mid Cap and BSE Mid Cap towards IIP; bidirectional relationship between BSE Large Cap and Exchange Rate whereas unidirectional relationship from BSE Large Cap to IIP and from Money Supply M3 towards BSE Large Cap.

scholarly journals Domestic Factors That Affect The Price of Styrene Butadiene Latex in Indonesia

2019 ◽  
Vol 20 (1) ◽  
pp. 60-68
Author(s):  
Rosalendro Eddy Nugroho
Keyword(s):  
Unit Root ◽  
Unit Root Test ◽  
Positive Coefficient ◽  
Direct Impact ◽  
Causality Test ◽  
Monthly Basis ◽  
Long Run ◽  
Augmented Dickey Fuller ◽  
Short Run ◽  
Styrene Butadiene

This paper investigates or examines the causal links between price of styrene butadiene latex (SBL) and other domestic variables such as supply, demand, Herfindahl Hirschman Index (HHI), price of styrene, and price of butadiene during the period of 1995–2017 on the monthly basis.. Results from Augmented Dickey Fuller (ADF) or unit root test showed that the stationary state of the whole variables is of first difference (I). The Granger pairwise causality test revealed a bidirectional causality of SBL with BTD(Butadiene), SBL with STY(Styrene), SUPP(Supply) with DMD(Demand), DMD with STY, DMD with BTD and STY with SUPP and vice versa. Johansen test found out a co-integration of SBL prices. However, this study proved no significant links between the price of SBL and supply of SBL (SUPP) in the long and short run. This paper highlights the fact that SBL price has a significant direct impact in the long run on the styrene (STY) and butadiene (BTD) prices, as well as HHI. Similarly, these aspects also have a significant direct impact proved by the positive coefficient in the long run on the SBL pricing. The findings further showed that the price of SBL has a connection and significant direct impact on the negative arrow for the short and long run equilibrium, in line with the price and demands for SB Latex, pressing and oil classification.

Money Supply and Equity Price Movements During the Liberalized Period in India

2018 ◽  
Vol 21 (1) ◽  
pp. 108-123
Author(s):  
Tarak Nath Sahu ◽  
Krishna Dayal Pandey
Keyword(s):  
Error Correction ◽  
Money Supply ◽  
Stock Prices ◽  
Function Analysis ◽  
Correction Term ◽  
Impulse Response Function ◽  
Decomposition Analysis ◽  
Causality Test ◽  
Long Run ◽  
Short Run

This study attempts to contribute towards the prevalent understanding and the extant literatures on the effect of changes in money supply as an important monetary policy shock on the stock prices of India by using a time-varying parameter models with vector autoregressive specification during the period 1996 to 2016. The result of Johansen’s cointegration test suggests a significantly positive long-run co-movement between the growth of money supply and stock prices in India but the result of vector error correction model (VECM) does not exhibit any significant relationship in short run. Further, the error correction term of the VECM reveals a long-run unidirectional causality from money supply to stock prices. However, the Granger causality test confirms that the growth rate of money supply does not cause the stock market movement in India in short run. Finally, the variance decomposition analysis reveals that both the Indian stock markets are strongly exogenous in the sense that shocks to money supply explain only a small portion of the forecast variance error of the market indices. Again, the impulse response function analysis indicates that a positive shock in money supply has a small but persistently positive effect on stock prices in India.

scholarly journals The Dynamic of Macroeconomics Elements in Malaysia: Further Insight into Causality Analysis

2019 ◽  
Vol 4 (1) ◽  
pp. 1
Author(s):  
Dayang Hummida Abang Abdul Rahman ◽  
Nuzaihan Majidi ◽  
Jati Kasuma ◽  
Yusman Yacob ◽  
Dayang Affizzah Awang Marikan
Keyword(s):  
Time Series Data ◽  
Unit Root Test ◽  
Series Data ◽  
Causality Analysis ◽  
Causality Test ◽  
Vector Error Correction ◽  
Vector Error ◽  
Long Run ◽  
Augmented Dickey Fuller ◽  
Short Run

This paper intends to explore the causality effect between Growth Domestic Product (GDP), population and unemployment in Malaysia. Based on the observation of Malaysia’s historical data, there is a distinct movement in each of these individual macroeconomics components over the years. Past literature within the same area has illustrated various patterns on the possibility of a causal relationship that each variable has on one another. Several stages of analysis are conducted to verify the presence of causality effect from Malaysian economic perspective, which includes unit root test that employs the Augmented Dickey Fuller (ADF), Phillips-Perron (PP) and Kwiatkowski-Phillips-Schmidt-Shin (KPSS) procedures, followed by Johansen and Juselius test of cointegration and Granger-causality test based on Vector Error Correction Model (VECM) using E-views software. Each procedure is conducted using Malaysia’s time series data for each of the three elements from 1980 to 2013 obtained from Malaysia’s Department of Statistics. Our findings revealed that there is one cointegration detected for the tested variables; whereas the results indicate that population can Granger cause unemployment in the short run. Furthermore, it is found that unemployment solely bears the effect from short run adjustment to bring about the long run equilibrium within the tested framework. This study is important for the policy maker to understand the reason behind the causality effect that could jeopardize the rate of unemployment in Malaysia. As the attention is given specifically to three variables particularly GDP, population and unemployment, this study is aimed at broadening the prospect for further investigation within the same area of macroeconomics.

EMPIRICAL ANALYSIS OF INDIA’S FOREIGN TRADE AND ECONOMIC GROWTH

2020 ◽  
Vol 8 (10) ◽  
pp. 105-111
Author(s):  
Khujan Singh ◽  
Anil Kumar
Keyword(s):  
Time Series Data ◽  
Unit Root Test ◽  
Series Data ◽  
Significant Implication ◽  
Causality Test ◽  
First Order ◽  
Long Run ◽  
Directional Relation ◽  
Augmented Dickey Fuller ◽  
Vecm Granger Causality

The present study is an attempt to examine long run relationship among India’s GDP, Exports and Imports for which yearly time series data from 1995 to 2018 has been collected. Data for India’s GDP has been collected from RBI website and India’s export and import data has been collected form Ministry of Commerce and Industry website. The Augmented Dickey-Fuller unit root test for stationarity found that studied variables become stationary at first order of difference. While, Johnson cointegration test revealed long run cointegration between India’s GDP, exports and imports. The results of VECM Granger causality test exhibited bi-directional relationship between India’s GDP and India’s exports, whereas uni-directional relation has been found between India’s GDP and India’s imports. These results have significant implication for India’s export import policy and to achieve a target of $5 trillion economy till 2024-2025.

The relationship between financial development and economic growth in Eswatini (formerly Swaziland)

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Siphe-okuhle Fakudze ◽  
Asrat Tsegaye ◽  
Kin Sibanda
Keyword(s):  
Economic Growth ◽  
Granger Causality ◽  
Financial Development ◽  
Granger Causality Test ◽  
Causality Test ◽  
Content Type ◽  
Distributed Lag ◽  
Long Run ◽  
Short Run ◽  
The Relationship

PurposeThe paper examined the relationship between financial development and economic growth for the period 1996 to 2018 in Eswatini.Design/methodology/approachThe Autoregressive Distributed Lag bounds test (ARDL) was employed to determine the long-run and short-run dynamics of the link between the variables of interest. The Granger causality test was also performed to establish the direction of causality between financial development and economic growth.FindingsThe ARDL results revealed that there is a long-run relationship between financial development and economic growth. The Granger causality test revealed bidirectional causality between money supply and economic growth, and unidirectional causality running from economic growth to financial development. The results highlight that economic growth exerts a positive and significant influence on financial development, validating the demand following hypothesis in Eswatini.Practical implicationsPolicymakers should formulate policies that aims to engineer more economic growth. The policies should strike a balance between deploying funds necessary to stimulate investment and enhancing productivity in order to enliven economic growth in Eswatini.Originality/valueThe study investigates the finance-growth linkage using time series analysis. It determines the long-run and short-run dynamics of this relationship and examines the Granger causality outcomes.

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