Sectoral Stock Markets and Economic Growth Nexus: Empirical Evidence from Indonesia

• 발행기관: 한국유통과학회
• 저자명: Hismendi HISMENDI Raja MASBAR Nazamuddin NAZAMUDDIN M. Shabri Abd. MAJID Suriani SURIANI
• 간행물 정보: 『The Journal of Asian Finance, Economics and Business(JAFEB)』Vol. 8 No.4, 11~19쪽, 전체 9쪽
• 주제분류: 경제경영 > 경제학
• 파일형태: PDF
• 발행일자: 2021.04.30

영문 초록

This study aims to analyze the causality relationship between sectoral stock markets (agricultural, financial, industrial, and mining sectors) and economic growth in the short and long term as well as to analyze whether it has similar types or not. The data used is quarterly timeseries data (first quarter 2009 to fourth 2019). To determine the causality relationship, this study conducts a variable and multivariate causality test. The results of the varying granger causality test show that there is only a one-way relationship, where the economic growth of the agriculture sector affects its shares. A one-way relationship also occurs in stocks of the industrial sector, which has an influence on economic growth. The multivariate causality test shows that the economic growth of the agricultural sector has a two-way causality relationship, and it also exists between the industrial sector and the financial sector stock markets. The two-way causality relationship between the stock market and sectoral economic growth is a convergence towards long-term equilibrium. The findings of this study suggest that the government through the Financial Services Authority and the Indonesia Stock Exchange have to maintain stability in the stock market as a supporter of the national economy.

목차

1. Introduction

2. Literature Review

3. Data and Methodology

4. Results and Discussion

5. Conclusion

키워드

Sectoral Stock Markets Economic Growth Multivariate Causality