A Causal Relationship Between Stock Market And Credit Market An Empirical Analysis For Spain

Antonios, Adamopoulos
March 2010
International Review of Applied Financial Issues & Economics;Mar2010, Vol. 2 Issue 1, p58
Academic Journal
This paper investigates the causal relationship between stock market development and credit market development for Spain for the period 1976-2007 using a vector error correction model (VECM). The purpose of this paper is to examine the longrun relationship between these variables applying the Johansen cointegration analysis. Granger causality tests indicated that there is a unidirectional causality between credit market development and stock market development with direction from credit market development to stock market development and a unidirectional causal relationship between stock market development and productivity with direction from productivity to stock market development for Spain. Therefore, it can be inferred that credit market development and productivity have a positive effect on stock market development.


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