TITLE

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

AUTHOR(S)
Antonios, Adamopoulos
PUB. DATE
March 2010
SOURCE
International Review of Applied Financial Issues & Economics;Mar2010, Vol. 2 Issue 1, p58
SOURCE TYPE
Academic Journal
DOC. TYPE
Article
ABSTRACT
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.
ACCESSION #
52364946

 

Related Articles

  • Time Series Implications of Risk and Efficiency: Evidence from Greece, 1994-2007. Kirikos, Dimitris G. // International Review of Applied Financial Issues & Economics;Dec2009, Vol. 1 Issue 1, p43 

    This paper uses monthly data from the Athens Stock Exchange, over 1994-2007, to explore the relationship between risk aversion and market efficiency. The approach is based on econometric testing of the efficient markets model with varying discount factors, using an error-correction...

  • Chinese share price jolt could cause policy paralysis. Raby, Geoff // Australian Financial Review (0404-2018);7/16/2015, p55 

    The author presents insights on the decline in the stock market in China. He discusses the growth of the Shanghai and Shenzhen stock indexes in late 2014, the opening of new trading accounts in the June 2015 quarter, the response of the Chinese government to this market fever, and the economic...

  • Dynamic linkages between emerging European and developed stock markets: Has the EMU any impact? Syriopoulos, Theodore // International Review of Financial Analysis;2007, Vol. 16 Issue 1, p41 

    Abstract: This paper investigates the short- and long-run behavior of major emerging Central European (Poland, Czech Republic, Hungary, Slovakia), and developed (Germany, US) stock markets and assesses the impact of the EMU on stock market linkages. Evidence of one cointegration vector in both a...

  • Co-integration & Causality Analysis among Asian Stock Markets. Khan, Muzammil; Ibn-e-Hassan; Ahmad, Muhammad Shakil // Interdisciplinary Journal of Contemporary Research in Business;Jul2011, Vol. 3 Issue 3, p632 

    This paper empirically analyzes the phenomenon of cointegration amongst selected Asian stock markets. Augmented Dicky Fuller (ADF), Multivariate Cointegration and Engle- Granger Causality tests are applied on the data comprising monthly indices from August 1998-August 2008 to analyze the...

  • For The Record. Investor's Business Daily // Investors Business Daily;7/3/2014, pA02 

    For The Record: The Big Picture in the Wednesday, July 2, 2014 edition misidentified the first exchange in which gainers beat losers by about 2-to-1. It was the New York Stock Exchange.

  • Playing the day.  // In Search of the Perfect Investment;11/10/2015, p1 

    The article talks about hike in rate of stock market with the charts mentioned discussing the ups and down of stock market.

  • DOES THE SUBPRIME CRISIS AFFECT CREDIT DEFAULT SWAP MARKETS? Naifar, Nader // Journal of Applied Research in Finance (JARF);Jun2010, Vol. 2 Issue 1, p68 

    This paper investigates the impact of the Subprime crisis on the Credit Default Swap (CDS) market. The Subprime crisis presents a serious risk to global financial markets. The Japanese credit markets faces growing bank losses and a cruel market environment accompanied by a slowing economy and...

  • A Sobrerreação do Mercado à Informação Intangível. Lauretti, Carlos Marcelo; Kayo, Eduardo Kazuo; Marçal, Emerson Fernandes // Revista Brasileira de Finanças;2009, Vol. 7 Issue 2, p215 

    Academic studies have shown that returns show reversion effects, which has often been explained as market overreaction to firms past performance. Other studies have shown that future returns are positively related to book-to-market index (B/M), which has been suggested as a proxy for risk...

  • DEVELOPMENT TRENDS OF ELECTRONIC TRADE AT STOCK MARKET. Shcherbyna, A. G. // Actual Problems of Economics / Aktual'ni Problemi Ekonomìki;Feb2012, Vol. 128 Issue 2, p301 

    The article analyzes the trends in the development of innovative technologies of securities trade at stock exchanges and presents the description of Internet trading services and the mechanisms of electronic trade. Basing on the statistical data of the "Ukrainian Stock Exchange" the dynamics and...

Share

Read the Article

Courtesy of THE LIBRARY OF VIRGINIA

Sorry, but this item is not currently available from your library.

Try another library?
Sign out of this library

Other Topics