The Impact of the Stock Market on Liquidity and Economic Growth: Evidence of Volatile Market
Abstract
:1. Introduction
Background
2. A Review of the Literature: Theoretical Review
2.1. Economic Growth Theory
2.2. Stock Markets Functions
2.3. Empirical Literature
3. Methodology
4. Data Sources and Issues
Model Specification
5. Results
5.1. Stationarity Results
5.2. Empirical Results
5.3. Granger Causality Test
5.4. Post-Estimation Diagnostic Tests
5.4.1. Autocorrelation Test
5.4.2. Residual Normality Test
5.4.3. Stability Tests
5.4.4. Impulse Response Test
6. Discussion
7. Concluding Remarks
Author Contributions
Funding
Institutional Review Board Statement
Informed Consent Statement
Data Availability Statement
Conflicts of Interest
References
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Variable | Obs | Mean | Std.Dev | Min | Max |
---|---|---|---|---|---|
GDPk | 44 | 4.11 | 0.12 | 3.91 | 4.33 |
SMK | 44 | 7.06 | 1.56 | 3.64 | 10.01 |
STL | 44 | 8.04 | 0.86 | 0.21 | 4.16 |
STF | 44 | 13.04 | 0.63 | 11.91 | 14 |
EXPt | 44 | 1.22 | 0.83 | −2.3 | 2.39 |
ADF TEST Z(t) | 5% CRITICAL VALUE | |
---|---|---|
H02: The level of the variable is non-stationary | ||
GDPK | 1.618 | 3.000 |
SMK | 1.892 | 3.000 |
STF | 0.235 | 3.000 |
STL | 1.762 | 3.000 |
EXPt | 0.435 | 3.000 |
H12: The first difference of the variable is non-stationary | ||
In(GDPK) | 5.517 | 3.600 |
In(SMK) | 4.314 | 3.600 |
In(STF) | 5.635 | 3.600 |
In(STL) | 4.123 | 3.600 |
In(EXPt) | 3.750 | 3.000 |
VARIABLES | GDPGK | SMK | STF | STL | EXPt |
---|---|---|---|---|---|
L.GDPG | 0.726 *** | −215.4 | 1.470 *** | −6.262 | 1.088 *** |
(0.267) | (230.1) | (0.34) | (4.468) | (0.183) | |
L2. GDPK | −0.244 | 189.4 | −0.676 ** | 5.91 | 0.921 *** |
(0.218) | (188.3) | (0.278) | (4.419) | (0.15) | |
L.SMK | 0.000568 * | 0.538 ** | −0.00035 | 0.714 *** | 0.001000 *** |
(0.00031) | (0.268) | (0.0004) | (0.132) | (0.00021) | |
L2.SMK | 0.000522 | 0.23 | −0.00025 | −0.185 | 0.00112 *** |
(0.00056) | (0.483) | (0.00071) | (0.126) | (0.00038) | |
L.STF | 0.365 *** | 46.86 | −0.592 *** | −4.989 ** | −0.0157 |
(0.113) | (97.98) | (0.145) | (2.515) | (0.0779) | |
L2.STF | −0.211 * | 139 | −0.722 *** | 6.053 ** | −0.156 ** |
(0.111) | (96.24) | (0.142) | (2.519) | (0.0765) | |
L.LEXPt | −0.700 * | −88.36 | 0.305 | 0.1 | 0.418 * |
(0.358) | (308.8) | (0.456) | (0.0664) | (0.245) | |
L2. EXPt | 0.692 | 11.92 | 2.692 *** | −0.145 * | 0.730 ** |
(0.472) | (407.9) | (0.602) | (0.0766) | (0.324) | |
L.SKL | 0.235 | 6.86 | −0.592 *** | −4.985 * | −0.0167 |
(0.213) | (7.98) | (0.145) | (2.515) | (0.0779) | |
L2.SKL | −0.145 | 139 | −0.773 | 6.053 ** | −0.153 * |
(0.132) | (96.24) | (0.132) | (2.519) | (0.0745) | |
Constant | 3.791 | −9.541 | 106.3 *** | −8.786 *** | 32.65 *** |
−6.808 | (5.877) | (8.678) | (2.854) | (4.67) |
NULL Hypothesis | |
---|---|
SMK does not granger cause GDPK | 11.172 *** |
STF does not granger cause GDPK | 12.871 *** |
STL does not granger cause GDPK | 13.867 *** |
GDPK does not granger cause SMK | 4.756 |
STF does not granger cause SMK | 4.603 |
STL does not granger cause SMK | 5.6216 |
GDPK does not granger cause STF | 79.492 *** |
SMK do not granger cause STF | 50.832 *** |
STL does not granger cause STF | 135.84 *** |
GDPK does not cause STL | 78.317 *** |
SMK does not granger cause STL | 23.717 *** |
STF does not granger cause STL | 54.025 *** |
Lag | Df | ||
---|---|---|---|
1 | 13.762 | 16 | 0.616 |
2 | 17.000 | 16 | 0.342 |
Equations | Df | ||
---|---|---|---|
D.GDPk | 8.700 | 2 | 0.444 |
D_SMK | 1.355 | 2 | 0.508 |
D.STF | 0.462 | 2 | 0.793 |
D.STL | 1.749 | 2 | 0.417 |
D.EXPt | 1.862 | 2 | 0.235 |
ALL | 12.265 | 10 | 0.140 |
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Chikwira, C.; Mohammed, J.I. The Impact of the Stock Market on Liquidity and Economic Growth: Evidence of Volatile Market. Economies 2023, 11, 155. https://doi.org/10.3390/economies11060155
Chikwira C, Mohammed JI. The Impact of the Stock Market on Liquidity and Economic Growth: Evidence of Volatile Market. Economies. 2023; 11(6):155. https://doi.org/10.3390/economies11060155
Chicago/Turabian StyleChikwira, Collin, and Jahed Iqbal Mohammed. 2023. "The Impact of the Stock Market on Liquidity and Economic Growth: Evidence of Volatile Market" Economies 11, no. 6: 155. https://doi.org/10.3390/economies11060155
APA StyleChikwira, C., & Mohammed, J. I. (2023). The Impact of the Stock Market on Liquidity and Economic Growth: Evidence of Volatile Market. Economies, 11(6), 155. https://doi.org/10.3390/economies11060155