A cross-country and country-specific modelling of stock market performance, bank development and global equity index in emerging market economies: A case of BRICS countries

Ebere Ume Kalu; Augustine C. Arize; Okoro E. U. Okoro; Florence Ifeoma Onaga; Felix Chukwubuzo Alio

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A cross-country and country-specific modelling of stock market performance, bank development and global equity index in emerging market economies: A case of BRICS countries

机译：新兴市场经济体中股市绩效，银行发展和全球股权指数的跨国和国家特定建模：金砖国家的案例

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This study investigated in cross-country and panel form the interactions of bank development, stock market development and global equity index, focusing on the BRICS countries covering the period 1990 to 2018. We found a bidirectional causation between bank development (CPSGDP) and stock market performance as proxied by the depth of the markets (MCAPGDP) in the BRICS countries. Cointegration was also found using the panel cointegration framework and the bounds test for the ARDL estimators. This largely proves that a long-run relationship of both direct and reverse nature exists between bank development and stock market performance. For the bank development and market performance models respectively, all the error-correction terms were found to be negatively significant, indicating that they both share dynamic profile and adjust appreciably to deviations from equilibrium between the short run and the long run. The global equity index showed that stock market development interacts more with the global financial environment than bank development in the BRICS countries. Our findings support the complementarity and coevolution hypothesis in the stock market and bank development nexus.

机译：本研究调查了越野和小组，形成了银行开发，股票市场发展和全球股权指数的互动，重点是涵盖了1990年至2018年期间的金砖国家。我们在银行开发（CPSGDP）和股票市场之间发现了双向因果关系由金砖国家（MCAPGDP）的深度代理的性能。还使用Panel CoIntegration框架和ARDL估计器的界限测试找到了协整。这在很大程度上证明，银行开发和股票市场表现之间存在直接和反向性的长期关系。对于银行开发和市场性能模型，发现所有误差术语都被发现负面显着，表明它们都共享动态型材并明显调整，以偏离短跑和长期的均衡。全球股权指数表明，股市发展与全球金融环境相互作用，而不是金砖国家国家的银行开发。我们的调查结果支持股票市场和银行开发Nexus的互补性和共同作用。

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《PLoS One》 |2020年第11期|共20页
作者
Ebere Ume Kalu; Augustine C. Arize; Okoro E. U. Okoro; Florence Ifeoma Onaga; Felix Chukwubuzo Alio;
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5. Stock return volatility in emerging equity markets: The relative effects of country and global factors. [D] . Abugri, Benjamin Adam. 2002

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机译：金融发展和货币政策的分配效应货币政策的分配后果是否取决于金融发展的程度？各国的最优货币政策应该不同吗？为了回答这些问题，我们开发了一个具有异构代理的货币增长生产模型。在我们的经济中，最优政策需要权衡两个群体的政策效应 - 资本所有者和持有流动资产的个人。虽然银行帮助限制通胀风险，但存在限制，因为资金减轻了私人信息的摩擦和有限的沟通。在这种环境下，我们比较两个经济体在各个方面都是相同的，除了它们的金融发展水平。在金融发展有限的国家，缺乏股票市场。另一方面，股票市场活跃。在任一经济体中，通胀都会对资本形成和产出产生不利影响持有流动资产的个人总是受到通货膨胀的不利影响，但资本所有者的态度取决于金融发展的水平。特别是，在股票市场存在的情况下，通货膨胀对资本所有者福利的影响是非单调的。尽管如此，在较高的金融发展水平下，最优货币政策总是更加保守。

A cross-country and country-specific modelling of stock market performance, bank development and global equity index in emerging market economies: A case of BRICS countries

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