Stock markets contribute greatly to economic growth and development by encouraging capital accumulation. This contribution is parallel with stock market's development level. Therefore, it is very important to reveal the factors affecting the development of stock markets. The aim of this study is to examine the effect of macroeconomic factors on stock market development using annual panel data of Asia-Pacific countries for period 1995-2019. In the study, stock market development was measure using stock market capitalization as a percentage of GDP. Money supply, foreign capital inflows, exports, savings rate, inflation, interest rate, GDP per capita and unemployment rate were used as macroeconomic determinants of the stock market. Firstly, Hausman test was conducted to make a choice between the random effect model and the fixed effects model. According to the result of Hausman test, fixed effect method is confirmed as the most appropriate method to evaluate model of study. In addition, the heteroscedasticity problem was tested with the modified Wald test and the autocorrelation problem was tested with the Wooldridge test. In this context, both heteroscedasticity and autocorrelation problem were determined in the model. Dynamic panel analysis Arellano-Bover (GMM) model was conducted to fix heteroscedasticity and autocorrelation. According to the results obtained from the Arellano-Bover (GMM) model, it was found that money supply, foreign capital inflows, exports and GDP per capita positively affected stock market development, while inflation and unemployment had a negative effect. Savings rate and interest rate had no significant effect on stock market development.
İslam dünyası incelendiğinde birçok ülkede sermaye piyasalarının yeterince gelişmediği görülmektedir. Bu bağlamda çalışmada İslam İşbirliği Teşkilatı örgütüne üye olan ülkelerde sermaye piyasalarının gelişmişliğini etkileyen faktörler, 57 üye ülkeden 21’inin 1981-2018 dönemi verileri kullanılarak panel veri analizi yöntemi ile incelenmiştir. Çalışmada sermaye piyasası gelişmişliği piyasa kapitalizasyonu oranı ile hesaplanmıştır. Modelde sabit etkiler ve rassal etkiler tahminleri arasında tercih yapmak için Hausman testi yapılmış ve rassal etkiler tahmininin kullanılması gerektiği bulunmuştur. Modelde otokorelasyon problemi olmayıp, değişen varyans sorununa rastlanmıştır. Değişen varyans sorununu çözebilmek için ise robust tahmini yapılmıştır. Tahmin sonuçlarına göre sabit sermaye oluşumu, piyasa likiditesi, ihracat ve yolsuzluk kontrolü değişkenlerinin sermaye piyasası gelişmişliğini pozitif yönde etkilediği; buna karşın tasarruf oranı ve piyasa devir hızı değişkenlerinin ise negatif yönde etkilediği sonucuna ulaşılmıştır.
The main aim of this study is to analyse the impact of institutional factors on financial development in Islamic Cooperation Organization Countries. The ratio of domestic credit given to the private sector to GDP is used as a proxy for financial development; income level, broad money, foreign direct investment, trade openness, saving rate, inflation, unemployment rate, exchange rate, final government expenditure, and external debt are utilized as determinants of financial development; corruption index and four sub-levels of economic freedom is used as a proxy for the institutional quality level. According to the linear dynamic panel data estimation by using 1995-2018 panel data, it has been found that the reduction of corruption, the rule of law, regulations effectiveness, and open markets positively affected financial development; however, government size negatively influenced financial development.
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