Stock market development and economic growth in Belgium

Nieuwerburgh, Stijn Van; Buelens, Frans; Cuyvers, Ludo

doi:10.1016/j.eeh.2005.06.002

Cited by 149 publications

(96 citation statements)

References 22 publications

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“…During this period, highly developed banking system coupled with liberal stock market regulations attracted a great deal of domestic and foreign capital in Belgium. In confirmation, Van Nieuwerburgh, Buelens and Cuyvers (2006) document that the development of the financial sector, accompanied with the stock market-based financing of firms, played an important role in the economic growth of 19th century Belgium. The database contains monthly common stocks return from 1832 to 1914 for every stock listed on the BSE as of that time.…”

Section: The Data and Beta Coefficient Descriptive Statisticsmentioning

confidence: 88%

The Behavior of Beta in the 19th Century

Mensah¹

2013

AFR

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This paper uses completely new data to study the variations in beta when it deviates from the constancy assumption presumed by the market model. The concentration of the literature on beta is based on post 1926 data. This makes the 19 th century Brussels Stock Exchange (BSE) data a very good out-sample dataset to test beta variations. Various models proposed in the literature to capture the variations in beta were studied. Blume's correlation techniques reveal that beta is not stable at the individual stocks level and that the stability can be fairly improved by portfolio formations. Using root mean square error (RMSE) criterion, it was shown that the market model betas are weak in predicting future betas. The predictability can be improved by adjusting betas with the Blume and Vasicek mean reversion techniques. Further results from this study reveal that few stocks have lead or lag relationship with the market index. Small sized stocks were detected to be more prone to outliers. In effect betas in the 19 th century exhibits similar pattern as betas in the post 1926 era.

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Section: The Data and Beta Coefficient Descriptive Statisticsmentioning

confidence: 88%

The Behavior of Beta in the 19th Century

Mensah¹

2013

AFR

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“…a widely used and adopted indicator for stock market size is stock market capitalization as a ratio to GDP as used by Nowbutsing (1999), and Van Nieuwerburgh et al (2005). This variable measures the ratio of market capitalization to GDP and is expected to be positive and significant.…”

Section: Stock Market Size (Mcgdp)mentioning

confidence: 99%

Stock Market Development and Economic Growth: An Empirical Analysis of Zimbabwe (1989-2014)

Magweva¹,

Mashamba²

2016

FAI

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“…Although it excludes bank credits to the public sector, it represents more accurately the role of financial intermediaries in channeling funds to private market participants [12] . The general stock market index is used as a proxy for the stock market development The general stock market index (SM) expresses better the stock exchange market, while the Industrial Production Index (IND) measures the growth of industrial sector and its effect on economic growth [14,15,16] . The data that are used in this analysis are annual covering the period 1978-2007 for Greece, regarding 2000 as a base year.…”

Section: Data and Specification Modelmentioning

confidence: 99%

Financial Development and Economic Growth An Empirical Analysis for Greece

Vazakidis¹,

Adamopoulos²

2009

American J. of Applied Sciences

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Problem statement:This study investigated the causal relationship between financial development and economic growth for Greece for the period 1978-2007 using a Vector Error Correction Model (VECM). Questions were raised whether financial development causes economic growth or reversely taking into account the positive effect of industrial production index. Financial market development is estimated by the effect of credit market development and stock market development on economic growth. The objective of this study was to examine the causal relationships between these variables using Granger causality tests based on a Vector Error Correction Model (VECM). Approach: To achieve this objective unit root tests were carried out for all time series data in their levels and their first differences according to Dickey-Fuller (1979). Johansen co-integration analysis was applied to examine whether the variables are co-integrated of the same order taking into account the maximum eigenvalues and trace statistics tests. A vector error correction model was selected to investigate the long-run relationship between financial development and economic growth. Finally, Granger causality test was applied in order to find the direction of causality between the examined variables of the estimated model. Results: A short-run increase of stock market index per 1% leaded to an increase of economic growth per 0.06% in Greece, also an increase of bank lending per 1% leaded to an increase of economic growth per 0.14% in Greece, while an increase of productivity per 1% leaded to an increase of economic growth per 0.32% in Greece. The estimated coefficient of error correction term found statistically significant with a negative sign, which confirmed that there was not any problem in the long-run equilibrium between the examined variables. The results of Granger causality tests indicated that economic growth causes stock market development and industrial production index, while industrial production index causes credit market development for Greece. Conclusions: Therefore, it can be inferred that economic growth has a positive effect on stock market development and credit market development through industrial production growth in Greece.

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Stock market development and economic growth in Belgium

Cited by 149 publications

References 22 publications

The Behavior of Beta in the 19th Century

The Behavior of Beta in the 19th Century

Stock Market Development and Economic Growth: An Empirical Analysis of Zimbabwe (1989-2014)

Financial Development and Economic Growth An Empirical Analysis for Greece

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