Stock Market Turnover Research Articles

Exploring the stock market development and sustainable development nexus: insights from emerging market economies

PurposeSustainable development is considered a key factor in addressing environmental issues, global inequalities and poverty. This study aims to investigate the impact of stock market indicators on sustainable development across 16 emerging markets from 2003 to 2020.Design/methodology/approachThe research uses causality and cointegration analyses to explore the relationships between stock market indicators and sustainable development.FindingsUnivariate causality analysis reveals a bidirectional causal relationship between the stock market turnover ratio and sustainable development, as well as a unidirectional relationship from sustainable development to stock market capitalization and total value traded. Panel-level cointegration analysis suggests that only stock market capitalization has a weak positive influence on sustainable development. However, the impact of stock market indicators on sustainable development varies significantly among countries, as revealed by country-level cointegration analysis.Research limitations/implicationsWhile this study provides valuable insights, it is not without limitations. The findings are limited to the selected emerging markets and the specified timeframe (2003–2020). The complexity of factors influencing sustainable development suggests the need for further exploration in diverse contexts.Practical implicationsUnderstanding the nuanced relationships between stock market indicators and sustainable development can offer valuable insights for policymakers, investors and stakeholders.Originality/valueThis research contributes to the existing literature by examining the multifaceted connections between stock market indicators and sustainable development, focusing on country-specific causality relationships. The study highlights the reciprocal nature of this relationship, where financial market development can both influence and be influenced by a country's progress toward sustainability. This approach provides a more nuanced understanding of the complex interaction between stock market maturity and sustainability goals.

Financial Market Development and Foreign Portfolio Investments in Nigeria and South Africa

The study investigates the effect of financial market development on foreign portfolio investment in Nigeria and South Africa between the periods of first quarter in 1995 to fourth quarter of 2022. The study employs an ex-post factor research design, the study deploys panel autoregressive distributed lag modelling. The inferences were made at 5% significant level. Findings from the study reveal that lagged Portfolio Investment is not statistically significant to foreign portfolio investment (coefficient = -0.5026613, p-value = 0.275), in contrast, lagged Stock Market Turnover Ratio has a significant positive coefficient (coefficient = 0.5696119, p-value < 0.000), indicating a positive short-term relationship with changes in Portfolio Investment. However, other lagged variables like Stock Market Capitalization, All Share Index, Broad Money Supply, and Real Credit to the Private Sector show coefficients without statistical significance, suggesting limited short-term predictive power. In the long run, the adjusted term for lagged Portfolio Investment exhibits a highly significant negative effect (coefficient = -1.502661, p-value = 0.001). Lagged Broad Money Supply and Real Credit to the Private Sector also lack statistical significance in the long term, while lagged Stock Market Turnover Ratio and All Share Index have statistically significant positive coefficients. However, Stock Market Capitalization lacks statistical significance in predicting long-term changes in foreign Portfolio Investment. In respect to the result, the study recommended that policy makers should implement measures to enhance transparency and regulation within financial markets to promote investor confidence and attract foreign capital inflows. This may include strengthening regulatory frameworks, improving reporting standards, and ensuring effective oversight mechanisms.

Estimating Stock Market Betas via Machine Learning

Abstract Machine learning-based stock market beta estimators outperform established benchmark models both statistically and economically. Analyzing the predictability of time-varying market betas of U.S. stocks, we document that machine learning-based estimators produce the lowest forecast and hedging errors. They also help to create better market-neutral anomaly strategies and minimum variance portfolios. Among the various techniques, random forests perform the best overall. Model complexity is highly time-varying. Historical stock market betas, turnover, and size are the most important predictors. Compared to linear regressions, allowing for nonlinearity and interactions significantly improves predictive performance.

EFFECTS OF FINANCIAL MARKET DEVELOPMENT ON BANK CAPITALIZATION RATIO: EVIDENCE FROM COMMERCIAL AND NON-COMMERCIAL BANKS IN TANZANIA

Financial market development in many developing countries is a series of financial market reforms aimed at improving the market and the financial system in general. Theoretically, major reforms that improve the stock market are expected to increase bank performance by reducing bank risk of default by increasing the bank capitalization ratio. This results in stability in the financial market and banking sector. Nonetheless, empirical literature in addition shows that the quality of the financial market may be at high risk following the reforms process because of the integration effects of the markets across the countries or regions. A good example of this is the global financial crisis of 2007/2008. Based on this background, the present study investigates the extent to which the financial market development in Tanzania influences the bank's capitalization ratio (commercial and non-commercial banks). Employing a two-step system GMM technique in a dynamic panel dataset regression model for the investigation for a period of 2012 to 2021, while macroeconomic and bank-specific variables have been used as control variables. We proxy financial market development as stock market development. This study finds that stock market development in Tanzania measured in terms of stock market turnover ratio improves bank capitalization ratio with the goals of enhancing the financial market and maintaining stability in the banking sector.

Impact of Financial Development on Economic Growth during the Subprime Mortgage Crisis: Evidence from BRICS

The progress and advancement of any country rely significantly on the optimal functioning of its financial sector. Much of the literature is devoted to the analysis of developing countries regarding the impact of financial development on economic growth. However, in the wake of the global financial crisis, the issues and implications needed to be rethought. This study explores the impact of financial development on economic growth with respect to the mortgage crisis using 5 BRICS countries over the period of 1990–2019. The study follows the Interactive regression to find the impact of financial development on the economy with respect to the crisis. The paper employs both random effects and fixed effects to draw conclusions. The results demonstrate that before the crisis, stock market capitalization, liquid liabilities and stock market turnover had a significant impact on economic growth. Furthermore, stock market turnover helps to stabilize the economy in the ongoing crisis. BRICS states should consider the significance of these results as part of their potential financial development policy and strategy necessary to strengthen the economy.

FINANCIAL INCLUSION IMPLICATIONS ON THE LIQUIDITY OF THE NIGERIAN CAPITAL MARKET

The objective of this study was to examine the implications of financial inclusion on capital market liquidity in Nigeria. Therefore, we applied Vector Autoregression (VAR) technique to the analysis of the quarterly time series data obtained from Central Bank of Nigeria’s statistical bulletin and World Development Indicators for the period, 2008Q1 to 2018Q4. Findings of this study reveal that deposit penetration, bank penetration and credit penetration have positive but non-significant impact on stock market turnover ratio in Nigeria. Furthermore, unlike deposit penetration which exerts negative and non-significant influence on the value of shares traded ratio; bank penetration and credit penetration have positive but non-significant impact on the value of shares traded ratio in Nigeria. The study posits that financial inclusion exerts no significant influence/implications on stock market liquidity in Nigeria with a very negligible variation in the latter (stock market liquidity) explained by the former (financial inclusion). It is therefore recommended that accounts and bank penetrations should be re-engineered towards their translations to high volume and value of capital market transactions rather than mere financial penetration without any capital market implications in Nigeria.

The financial Kuznets curve of energy consumption: Global evidence

In this study, we explore the simultaneous existence of a Financial Kuznets Curve -an inverted U-shape relation between financial development and energy consumption- and Income Kuznets Curve -an inverted U-shape relation between income and energy consumption-for a panel of 85 countries. In terms of the financial Kuznets relation, we compare the effects of three stock market development indicators (i.e., stock market capitalization ratio, stock market value traded, and stock market turnover ratio) with the counterpart effects of three credit market indicators (i.e., domestic credit provided by the banking sector, liquid liabilities, and broad money supply. Drawing on the existing literature, we control for changes in country openness, natural resource endowments, and inflation by applying four methods in parallel: the parametric analysis (dynamic system GMM), and the non-parametric (panel quantile regression) as a robustness check. The results for both Kuznets curves are robust to all four methods. They indicate a simultaneous existence of an income Kuznets curve and a Financial Kuznets Curve when the indicators of the stock market development are considered. However, no Financial Kuznets Curve exists with respect to the credit markets’ development. When the credit markets are considered, only the income Kuznets curve is detected. The existence of a relationship between the stock market development and energy consumption has implications for national energy policies. Stock markets should be used actively for the promotion and funding of “green finance” industrial projects, encouraging innovation and new technologies for cleaner production. Our findings are also useful for crafting different financial development policies for countries that are seeking to encourage or discourage energy consumption.

Is stock market development a spur to poverty reduction? Empirical evidence from selected sub-Saharan African countries

ABSTRACT In this study, the relationship between stock market development and poverty reduction is examined in sub-Saharan African countries during the period 1993–2019. Three proxies of stock market development were used, namely stock market capitalization, stock market traded value and stock market turnover ratio, thereby leading to three separate model specifications. A battery of panel data estimation techniques was used in the study to examine the existence of cross-sectional dependence. Furthermore, the second-generation panel unit root test and panel cointegration test were used alongside the first-generation tests to examine this linkage. Contrary to some of the previous studies, the results of the panel least squares, fully modified ordinary least squares and dynamic ordinary least squares show that stock market development has no significant impact on poverty reduction in sub-Saharan countries during the period under study. These results apply irrespective of the proxy used to measure the level of stock market development. The results were also corroborated by the heterogenous non-Granger causality test, in which a prima facie causal flow was found from poverty reduction to stock market development when stock market turnover ratio was used as a proxy. Policy implications are discussed.

THE STUDY OF GOVERNMENT POLICY ON STOCK MARKET DEVELOPMENT AND ECONOMIC GROWTH IN NIGERIA (1984-2020)

This study explored the relationship between stock market development and Nigerian economic growth. This was done to look at Nigeria's stock market and economic growth from 1984 to 2020. The analysis relied on secondary data. The Central Bank of Nigeria statistical bulletin for 2021 presented data on stock turnover ratio, stock market capitalization ratio, total value of shares exchanged ratio, all share index, and GDP. Granger causality, Augmented Dickey Fuller Unit root test, Johansen cointegration test, and error correction model were used to analyze the data. Granger causality was shown. There is no reverse causality between stock market development metrics such as stock market capitalization ratio, turnover ratio, or total value of shares exchanged ratio and economic growth. All share index, stock market capitalization ratio, turnover ratio, and economic growth were integrated of order 1, while total value of shares traded ratio was integrated of order zero, according to unit root test results. The Johansen cointegration test showed that the All-Share Index, Stock Market Capitalization Ratio, Turnover Ratio, and Economic Growth all have four cointegrating relationships. Changes in the all-share index have a positive and significant impact on changes in economic growth, whereas changes in the stock market capitalization ratio and its lag have a negative but insignificant impact on changes in economic growth (p>0.05). Changes in the turnover ratio have a positive but insignificant impact on changes in economic growth (p>0.05), while its lag has a negative but insignificant impact on changes in economic growth (p>0.05). Changes in lagged GDP have a positive and important effect on changes in economic present-period growth (p0.01), and economic growth and the independent variables in our model have a long-run relationship as indicated by the negative and statistically significant error correction term in the model (p<0.01). Based on the results, the study recommends that the Federal Government intervene through the Asset Management Corporation of Nigeria (AMCON)/Ministry of Finance Incorporated, that more indigenous quotable companies be encouraged to pursue listing by offering incentives such as tax holidays, tax rebates, and other incentives, and that stock broking firms be encouraged to join forces, either through mergers or outright acquisition amongst other recommendations.

Status of Stock Market Concentration and Turnover at Nepal Stock Exchange

This paper examines the status of stock market concentration and turnover in Nepal Stock Exchange (NEPSE) during the period from Mid-July 2003-04 to Mid-July 2019-20. Despite the NEPSE’s high concentration and low degree of liquidity, the research reveals that stock market concentration and turnover are gradually improving, with the banking sector playing a key role in market concentration. It also finds a negative association between market concentration and stock turnover, meaning that a decrease in stock concentration is accompanied by an increase in turnover (or liquidity) across the study period. This has important policy implications, particularly in terms of reducing the market concentration and improving liquidity. Encouraging family-owned business to go public and attracting international capital flows so as to reduce investment risk and increase confidence of market participants in the capital market of Nepal.

Stock Market Valuation and Output Growth: Panel Data Evidence from the Indian Public Limited Manufacturing Firms

The paper examines the relationship between stock market valuation and output growth at the firm level. Specifically, it aims at understanding the impact of firms’ stock market valuation and stock liquidity on the growth of real output. The sample for the study includes panel data of Indian public limited manufacturing firms. The study covers the period from March 2005 to March 2020. Firms with at least two consecutive years of data have been included in the sample. The full sample includes firm-year observations of 877 firms. The findings show that both stock market valuation and turnover ratio have a significant positive impact on the growth of output, even after controlling for other important determinants of output. Further, both stock market variables and bank credit significantly influence the growth of output. This suggests that banks and stock market provide complementary financial services required for the growth and the development of the stock market will not undermine the role of the institution based financial system.
 Keywords: Stock market, market Valuation, stock liquidity and output growth
 JEL Classification: G1

HOW DO THE MACROECONOMIC DETERMINANTS UNDERPIN THE CAPITAL MARKET DEVELOPMENT IN NORTH MACEDONIA?

The capital market plays a vital role in economic growth since it is an important source of financing the business sector’s investments. Hence, a developed capital market enables efficient financial resource allocation by channeling domestic savings to those that need capital, which in turn leads to increased investment directed towards innovation and supports sustainable growth. The main objective of this research is to examine the impact of macroeconomic determinants on the capital market development in the Republic of North Macedonia. The focus has been put on the investigation of two dependent variables, stock market turnover to GDP ratio and stock market turnover to market capitalization ratio (Turnover Ratio) as parameters resembling the liquidity (depth) of the capital market, and how they depend on the economic growth, macroeconomic stability, trade openness and gross investments to GDP ratio. The empirical study is based on a time-series data analysis based on relevant secondary data sources, based on the utilization of the Johansen Test of Cointegration and the development of a corresponding Vector Error Correction Model (VECM) to estimate the relationship, the impact, the magnitude, and the significance of the determinants that support, and influence the liquidity of the stock market in North Macedonia during the period from 2008:Q1 to 2021:Q4. The analysis shows the existence of a significant long-run relationship between the observed macroeconomic factors and the stock market liquidity. The findings indicate that imports and real interest rates have a negative, yet statistically significant impact on the stock market turnover to GDP ratio. The gross domestic product rate, exports, and inflation rate have all a positive and statistically significant impact on the stock market turnover to GDP ratio. Gross investments also positively affect the stock market turnover to GDP ratio, but not significantly. On the other hand, the analysis shows that gross investments and exports have a positive, yet statistically significant impact on the stock market turnover to market capitalization ratio. The gross domestic product, imports, and inflation rate have all a negative and statistically significant impact, whilst the impact of the interest rates is negative but insignificant.

THE EFFECTS OF GLOBAL PANDEMIC ON STOCK LIQUIDITY IN THE NIGERIAN STOCK EXCHANGE

Stock liquidity plays important role in investors’ participation in any nation’s stock market. The global pandemic shock created market illiquidity especially among developing stock market like Nigerian stock market. However, the emergence of global pandemic via COVID-19 pandemic triggered declined market turnover (stock liquidity) which in turn created lack of confidence among stock investors in Nigeria. This study therefore examined the effects of Global pandemic on stock liquidity in the Nigerian stock market using stock turnover and COVID-19 pandemic as measure for stock market liquidity and global pandemic. The study employed expost facto research design using weekly data of both corona-virus pandemic and stock market turnover within the period of March, 2019 to February, 2022. The study employed Exponential GARCH (EGARCH) model and found a considerable negative consequence of Global Pandemic (Covid-19) on stock liquidity, implying that corona-virus pandemic has brought bad information (bad news) which deteriorate the liquidity in the stock exchange market. The study concluded that COVID-19 pandemic shock reduces stock liquidity in Nigerian stock exchange market. The study however recommended that government should put in place more palliative policies such as tax incentive and lowest interest rate on loan to individual and institutional investors which will cushion effect of COVID-19 pandemic and increase investors’ participation in the Nigerian stock market. Also, Nigeria stock market regulators should put in place sound measures that will enhance availability of stock information so as to arouse the interest more and new investors to the Nigerian Stock Market.

The Mediation Effect of Country Risk in the Nexus Between Stock Market Development and Economic Growth: Evidence From Developing Countries

The aim of this paper was to investigate the mediation effects of a country’s (a) political risk (PR), (b) economic risk (ER), and (c) financial risk (FR) in the relationship between domestic stock market development (SMD) and economic growth (EG) in developing countries. SMD was measured: (a) once by total value of domestically-traded stock as a percentage of GDP (TVDTS/GDP), (b) once by stock market turnover ratio (SMTR), and (c) once by stock market capitalization as a percentage of GDP (SMC/GDP). EG was measured in terms of annual growth of real GDP (GDPG). PR, ER and FR were measured using the World Bank’s International Country Risk Guide’s political, economic and financial risk scales, respectively. Structural equation modeling was used to analyze panel data from 23 developing economies for the years 2007-2017. Our results revealed a significant positive indirect effect of TVDTS/GDP on GDPG through PR and FR, and a significant positive indirect effect of SMTR on GDPG through PR.

ASSESSMENT OF NIGERIA STOCK MARKET DEVELOPMENT ON GROSS DOMESTIC PRODUCT

The study looked at the evolution of the Nigerian stock market from 1990 to 2020 to determine whether there was any correlation and how it could aid in economic development. Expost facto research was employed for this study. From 1990 through 2020, a sample of stock market capitalisation and GDP at year-end is chosen. Stock market turnover ratio and stock market value traded ratio versus GDP were employed as measures of stock market development in the study. The R-squared value (0.705770) suggests that the exogenous variables (Stock Market Value Traded Ratio (VTR) and Stock Market Turnover Ratio (TOVR) in the model explain 71 percent of the total fluctuations in Gross Domestic Product. The Fstatistic (6.853455) shows that the entire model correctly and significantly explains the phenomena. The evidence from the long-run regression estimate demonstrates that Gross Domestic Product has a considerable positive effect on the Stock Market Value Traded Ratio (VTR) and Stock Market Turnover Ratio (TOVR). The Nigerian stock market is hence illiquid and has a high transaction cost. Low liquidity means that investors will have a harder time converting their stocks to cash. It is recommended that, in order to improve liquidity, the cost of transactions in the Nigerian stock market and the methodology used to determine stock prices be reviewed, among other things, to make raising capital more affordable.

ICT Adoption and Stock Market Development: Empirical Evidence Using a Panel of African Countries

The aim of this study was to examine the impact of adopting information and communication technologies (ICT) on the development of African stock exchanges. The study examined a panel of 11 African stock exchanges for the period 2008–2017 and employed the generalised method of moments (GMM) to estimate the results. The results of the study documented that ICT adoption had a positive impact on stock market development in African countries. Firstly, it was found that the stock market traded volume and mobile–telephone user variables were positively related. Secondly, a positive relationship was also proven between the stock market traded volume and the broadband user variable. Thirdly, a positive relationship was documented between the stock market capitalisation variable and the fixed telephone user variable. Fourthly, the research findings confirmed a positive relationship between the stock market turnover ratio and the fixed telephone user variable. The findings of this study imply that policymakers should be more resolute when formulating ICT policies. ICT adoption can spur stock market development which in turn can propel economic growth, resulting in the economic prosperity of the African countries. Moreover, ICT adoption could enhance the integration of African stock exchanges, further buttressing the drive towards the common market areas in various regions.

До питання про класифікацію індикаторів фондового ринку

The purpose of the article is to create a new approach to the classification of stock market indicators in economic theory. Three groups of indicators are proposed, including indicators of supply and demand, evolvement of stock market, and localization. The group of indicators of supply and demand is created on the basis of the market analysis standard in marketing research, including: capacity, capitalization, stock market turnover, stock indices, P/E index. Within the framework of this group, it is also proposed to use the indicator of IPO share in the capitalization of stock market, which demonstrates the degree of openness of the market and investors to new companies and is opposed to the characteristics of the conservatism of the stock market. Stock indices are considered separately and their classification is schematically created according to the calculation method, providing the stock indices, calculated using the method of arithmetic mean simple, geometric mean and arithmetic mean weighted. The belonging of the largest existing stock indices to a certain type in accordance with calculation is demonstrated. A practical explanation of the various approaches to the methodology for determining stock indices is presented. In the second group of development indicators, the following are highlighted: liquidity, profitability, volatility, and concentration of the stock market, by which it is possible to assess not only the quality characteristics, but also the level of evolvement of the stock market. The third group was created on the basis of localization, which interprets the characteristics of the stock market depending on its geographical affiliation. This group includes: the degree of development of equity capital, openness, transparency of the stock market, the level of risk of a separate country, the investment attractiveness index, the index of attractiveness of both venture and direct investments. It is identified that certain indicators determine the level of other indicators within this group. For each of the three groups of indicators, the essence of the indicator, the methodology for calculation and application were examined. There is also an explanation of the signs by which the indicators were assigned to a certain group of indicators in the proposed approach to their classification.

Assessing the asymmetric effects of capital and money markets on economic growth in China

This study examines the effects of capital and money market predictors on economic growth in China using non-linear autoregressive distributed lags and dynamic multiplier methods. Applying asymmetric techniques is based on the hypothesized linear effects of finance on growth. Confirming the asymmetric nexus and long-run bounds amid indicators, the results demonstrate that positive (negative) shocks from money market rate decrease (increase) economic growth, while negative (positive) shocks from real interest rate and total liquidity increase (decrease) growth in the short-run. Besides, the results reveal that the shocks (positive and negative) from market capitalization and stock market turnover increase economic growth, while the shocks from total stock traded decrease growth both in the short and long runs. Moreover, the results of error-correction reveal a steady speed of adjustment of the short-run asymmetries to their long-run equilibrium, implying that improved financial systems attract sound financial projects, leading to sustainable and long-run economic growth. In light of the findings, relevant policy recommendations are discussed.

GLOBALIZATION AND INCOME INEQUALITY: EVIDENCE FROM BRICS-T COUNTRIES

Income inequality has increased dramatically in most countries, especially in developing countries, over the past three decades and it has become a widespread concern. The widening income disparity within countries has coincided with the process in which countries are increasingly exposed to the globalization through increased flows of goods, services, capital and labour across international borders. This study examines the relationship between globalization (measured by both financial and trade variables) and income inequality (measured bu Gini index) using a panel dataset of BRICS-T countries over the 1990–2015 period. Several models are estimated by panel-corrected standard errors (PCSE) methodology. The findings indicate that trade openness’ effect is insignificant, while financial globalization occuring through stock market turnover rate, total assets and liabilities and capital account openness has been the driving force of income inequality in these countries since 1990.

The diffusion of innovation theory and the effects of IFRS adoption by multinational corporations on capital market performance: a cross‐countryanalysis

AbstractThis article seeks to contribute to International Financial Reporting Standards (IFRS) literature by examining the effects of adopting IFRS on stock market performance worldwide from the diffusion of innovation theory perspective. Our study revealed several interesting findings after using combinations of unique panel data sets from 110 countries worldwide and conducting a robust empirical analysis from 1995 to 2014. First, we found a positive association between late mandatory IFRS adoption and stock market integration in Europe. Second, our findings indicate a significant negative association between early IFRS adoption and the following financial indicators: stock market trading volumes, stock market capitalization, market turnover, and market return. Third, our study reveals an insignificant association between early IFRS adoption and stock price volatility alongside stock market development. Our findings are robust and have significant practical and policy implications for regulators and policymakers of multinational corporations.