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Stock markets, volatility and economic growth: evidence from Cameroon, Ivory Coast and Nigeri

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  • Nzomo Tcheunta, Joseph

    (University of Dschang)

  • Dombou-Tagne, Dany Rostand

    (University of Dschang)

Abstract

This study examines in one hand the relationship between stock market return volatility and economic growth, and, in the other one, how stock market development can influence economic growth. The methods used in this paper are Generalized Autoregressive Conditional Heteroscedasticity (GARCH) framework to apprehend return volatility and VAR framework to capture any link between stock market and economic growth. Time series quarterly data used are from 2000 to 2015 for both Nigeria and Ivory Coast and from 2008 to 2015 for Cameroon. The study reveals that: 1) DSX results are not significant causing economic growth, neither the converse, showing how desperately Cameroon market needs to be boosted if the country wishes to reach an acceptable economic situation in 2035. The study also reveals, 2) none significant causality link going from stock market development to GDP in Ivory Coast and Nigeria; it also found that, 3) main macroeconomic variables influencing (or influenced by) stock market are Inflation and Money supply. The research finally reveals that, 4) NSE is more volatile than BRVM or DSX./ El objetivo de este estudio es examinar, por un lado, la relación entre la volatilidad de los rendimientos del mercado de valores y el crecimiento económico y, por otra parte, la influencia del desarrollo de dicho mercado sobre la estructura económica de los países en desarrollo. La metodología GARCH fue utilizada para analizar la volatilidad de los rendimientos, tambien la metodología VAR con el objetivo de identificar cualquier posible vínculo entre el mercado de valores y las tendencias económicas. Los datos son trimestrales y se extienden desde 2000 hasta 2015 para Nigeria y Costa de Marfil y para Camerún de 2008 A 2015. Los resultados muestran: 1) en Camerún la existencia de una bicausalidad no significativa entre el nivel de la economía y el mercado de valores, lo que demuestra a que punto el mercado camerunes necesita desesperadamente ser potenciado si el país quiere beneficiarse de una situación económica aceptable para el año 2035; 2) la inexistencia de una relación significativa entre el mercado de valores y el PIB en Costa de Marfil y Nigeria; 3) con estos resultados las variables macroeconómicas que influyen más en el mercado de valores son: la inflación y la oferta monetaria; 4) en términos de volatilidad, el NSE es más que la BRVM o la DSX.

Suggested Citation

  • Nzomo Tcheunta, Joseph & Dombou-Tagne, Dany Rostand, 2017. "Stock markets, volatility and economic growth: evidence from Cameroon, Ivory Coast and Nigeri," Panorama Económico, Escuela Superior de Economía, Instituto Politécnico Nacional, vol. 12(24), pages 145-175, Primer se.
    • Handle: RePEc:ipn:panora:v:12:y:2017:i:24:p:145-175
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    2. Klara Zalesakova, 2022. "Stock market development as a leading indicator of future economic growth in the BRICS countries," MENDELU Working Papers in Business and Economics 2022-82, Mendel University in Brno, Faculty of Business and Economics.

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    More about this item

    Keywords

    stock markets; volatility; economic growth; Cameroon; Ivory Coast; Nigeria./ mercados de valores; volatilidad; desarrollo económico; Camerún; Costa de Marfil; Nigeria.;
    All these keywords.

    JEL classification:

    • C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
    • F43 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Economic Growth of Open Economies

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