Institutional quality, macro liquidity excessive and stock market volatility empirical evidences from emerging markets
➤ Gửi thông báo lỗi ⚠️ Báo cáo tài liệu vi phạmNội dung chi tiết: Institutional quality, macro liquidity excessive and stock market volatility empirical evidences from emerging markets
Institutional quality, macro liquidity excessive and stock market volatility empirical evidences from emerging markets
Nguyen Phuc Canh & Su DinhInstitutional quality, macro liquidity excessive and stock market volatility:Empirical evidences from emerging marketsNGUYEN Institutional quality, macro liquidity excessive and stock market volatility empirical evidences from emerging marketsN PHUC CANHUniversity of Economics HCMC - canhnquyen(g)ueh.edu.vnsu DINH THANHUniversity of Economics HCMC - dinhthanh(5)Lieh.edu.vnAbstractThe relationship between monetary policy and stock market is still argument in the literature, especially in emerging countries. The study investigates the rela Institutional quality, macro liquidity excessive and stock market volatility empirical evidences from emerging marketstionship between institutional quality, macro liquidity excessive and stock market volatility, in which macro liquidity excessive is used as a proxy fInstitutional quality, macro liquidity excessive and stock market volatility empirical evidences from emerging markets
or monetary policy. Using a panel data of 32 emerging markets in the period of 2002 - 2013 and employing Sys GMM estimation, the study finds that the Nguyen Phuc Canh & Su DinhInstitutional quality, macro liquidity excessive and stock market volatility:Empirical evidences from emerging marketsNGUYEN Institutional quality, macro liquidity excessive and stock market volatility empirical evidences from emerging marketsity variables, namely regulatory quality and law indicator, the effects of institutions on stock returns are significantly negative. That means that institution quality moderates the effect of macro liquidity excessive on stock market volatility, implying that emerging countries should attend to imp Institutional quality, macro liquidity excessive and stock market volatility empirical evidences from emerging marketsroving institutional quality to reduce stock market volatility.Keywords: institution; liquidity excessive; stock market; volatility.1. IntroductionStoInstitutional quality, macro liquidity excessive and stock market volatility empirical evidences from emerging markets
ck market volatility is undoubtedly one of the most interesting topics in financial economics at both micro and macro level. With regard to volatilityNguyen Phuc Canh & Su DinhInstitutional quality, macro liquidity excessive and stock market volatility:Empirical evidences from emerging marketsNGUYEN Institutional quality, macro liquidity excessive and stock market volatility empirical evidences from emerging marketsodaran and Lim (1991), Jaleel and Samarakoon (2009), Vlastakis and Markellos (2012), Sharma, Narayan, and Zheng (2014), and X. V. Vo (2016). However, in the context of deeply financial and economic integration and therecent 2008 global financial crisis, much attention has been withdrawn the stock vo Institutional quality, macro liquidity excessive and stock market volatility empirical evidences from emerging marketslatility at market level (for instance, see Abbas, Khan, and Shah (2013), Zare, Azali, and Habibullah (2013), Bouri (2015a), Syriopoulos, Makram, andInstitutional quality, macro liquidity excessive and stock market volatility empirical evidences from emerging markets
Boubaker (2015), Assaf (2016)).It is important to understand stock market volatility due to its role in portfolio management and predictability model Nguyen Phuc Canh & Su DinhInstitutional quality, macro liquidity excessive and stock market volatility:Empirical evidences from emerging marketsNGUYEN Institutional quality, macro liquidity excessive and stock market volatility empirical evidences from emerging markets015). Many previous studies have focused on main determinants of stock market volatility such as oil price, exchange rate, interest rate, inflation, economic cycles, market liquidity, financial liberalization, etc., (see Pierdzioch, Dopke, and Hartmann (2008), Bley and Saad (2011), Walid, Chaker, Ma Institutional quality, macro liquidity excessive and stock market volatility empirical evidences from emerging marketssood, and Fry (2011), Girardin and Joyeux (2013), Bouri (2015b), Choudhry, Papadimitriou, and Shabi (2016), Kawakami (2016)). Some studies have investInstitutional quality, macro liquidity excessive and stock market volatility empirical evidences from emerging markets
igated the effects of institutions on stock market volatility as "government policy uncertainty" found in the study of Pastor and Veronesi (2012). TheNguyen Phuc Canh & Su DinhInstitutional quality, macro liquidity excessive and stock market volatility:Empirical evidences from emerging marketsNGUYEN Institutional quality, macro liquidity excessive and stock market volatility empirical evidences from emerging marketsrisks explain the high volatility and discontinuity in international stock and foreign exchange markets in most of regions excluding Europe. Gunay (2016) finds that the Turkish stock market responds to political events when analyzing the effects of internal political risk on stock market in the peri Institutional quality, macro liquidity excessive and stock market volatility empirical evidences from emerging marketsod of 2001-2014. However, these studies only focus on examining the effects of only political risk, while ignoring the other important aspects of instInstitutional quality, macro liquidity excessive and stock market volatility empirical evidences from emerging markets
itutions such as regulations, law system.In addition, previous studies have investigated effects of money dynamic on stock market (see Rogalski and ViNguyen Phuc Canh & Su DinhInstitutional quality, macro liquidity excessive and stock market volatility:Empirical evidences from emerging marketsNGUYEN Institutional quality, macro liquidity excessive and stock market volatility empirical evidences from emerging marketsnd Domanban (2013), McMillan (2015), Gay (2016)). The money growth effect of stock returns and volatility is found to be significant. However, these studies only pay attention to the effects of changes in money supply without considering its fluctuations around its theoretical equilibrium.The instit Institutional quality, macro liquidity excessive and stock market volatility empirical evidences from emerging marketsution is defined as "the game rules" in a society (Douglass c North, 1990), which includes "humanly devised" which contrasts with other economic fundaInstitutional quality, macro liquidity excessive and stock market volatility empirical evidences from emerging markets
mentals, "the rules of the game" to set "constraints" on human behavior (see Douglass Cecil North(1981), Acemoglu and Robinson (2008)). Hence, improveNguyen Phuc Canh & Su DinhInstitutional quality, macro liquidity excessive and stock market volatility:Empirical evidences from emerging marketsNGUYEN Institutional quality, macro liquidity excessive and stock market volatility empirical evidences from emerging markets asset allocation (Cohen, Hawawini, Maier, Schwartz, & Whitcomb, 1983; T. s. Ho & Michaely, 1988; Williamson, 1981). Thus, it is argued that better institutional quality would have stronger impact on stock market volatility, especially in emerging markets. Therefore, this study provides new argument Institutional quality, macro liquidity excessive and stock market volatility empirical evidences from emerging marketss and empirical evidences for shedding light on the question of whether or not institutions and excessive in money supply (or macro liquidity excessivInstitutional quality, macro liquidity excessive and stock market volatility empirical evidences from emerging markets
e) lower stock market volatility in 32 emerging markets. Besides this, we investigate whether adding the association between institutions with macro lNguyen Phuc Canh & Su DinhInstitutional quality, macro liquidity excessive and stock market volatility:Empirical evidences from emerging marketsNGUYEN Institutional quality, macro liquidity excessive and stock market volatility empirical evidences from emerging marketsto investigate impacts of institutions, macro liquidity excessive, and their associations on stock market volatility while controlling main macroeconomic determinants.Our study is firstly different from the aforementioned studies in measuring the macro liquidity excessive, which is presented detail Institutional quality, macro liquidity excessive and stock market volatility empirical evidences from emerging marketsin Section 3. We believe that our method in measuring macro liquidity excessive is more advantage as a proxy for money supply excessive at country levInstitutional quality, macro liquidity excessive and stock market volatility empirical evidences from emerging markets
el. Previous studies only investigate impacts of political events such as election and political risk, which only impose risk indirectly on stock markNguyen Phuc Canh & Su DinhInstitutional quality, macro liquidity excessive and stock market volatility:Empirical evidences from emerging marketsNGUYEN Institutional quality, macro liquidity excessive and stock market volatility empirical evidences from emerging marketshich these institutional indicators have directly impacts on the efficiency of stock market through their impacts on transaction cost, risk, and the asymmetric information problem. We also take our analysis one-step further by examining effects of the associations between institutions with macro liq Institutional quality, macro liquidity excessive and stock market volatility empirical evidences from emerging marketsuidity excessive on stock market volatility, which contribute to the literature on the interaction of institution with macroeconomic factor on stock mInstitutional quality, macro liquidity excessive and stock market volatility empirical evidences from emerging markets
arket volatility, and the policy implication for authorizers in stabilizing financial market.With this strategy, we believe that our study has signifiNguyen Phuc Canh & Su DinhInstitutional quality, macro liquidity excessive and stock market volatility:Empirical evidences from emerging marketsNGUYEN Institutional quality, macro liquidity excessive and stock market volatility empirical evidences from emerging markets. Brazil, Bulgaria, Chile, China (mainland), Colombia. Czech Republic, Egypt Arab Rep., Estonia. Greece. Hungary, India, Indonesia. Korea Rep., Latvia,Lithuania, Malaysia. Mexico, Morocco. Nigeria. Oman, Pakistan, Peru. Philippines. Poland. Romania.Russian Federation, Slovenia. South Africa. Thailan Institutional quality, macro liquidity excessive and stock market volatility empirical evidences from emerging marketsd. Turkey, and Vietnam.market volatility by adding new factors including the macro liquidity excessive and institutional quality. To the best of our kInstitutional quality, macro liquidity excessive and stock market volatility empirical evidences from emerging markets
nowledge, this paper is the first work on the impacts of macro liquidity excessive and institutions on stock market volatility. Our empirical results Nguyen Phuc Canh & Su DinhInstitutional quality, macro liquidity excessive and stock market volatility:Empirical evidences from emerging marketsNGUYEN Institutional quality, macro liquidity excessive and stock market volatility empirical evidences from emerging marketshich confirms the literature that the excessive in money supply moves into stock market and makes it more stable. In addition, our empirical results also show that the better institutional quality including quality of regulations and law reduce stock market volatility, which implies a strong suggest Institutional quality, macro liquidity excessive and stock market volatility empirical evidences from emerging marketsion for stabilizing stock market at emerging economies. Second, our study contributes empirical evidences to the scholar that the institutional improvInstitutional quality, macro liquidity excessive and stock market volatility empirical evidences from emerging markets
ements in associating with higher excessive of money supply reduce stock market volatility. This result implies that the excessive macro liquidity is Nguyen Phuc Canh & Su DinhInstitutional quality, macro liquidity excessive and stock market volatility:Empirical evidences from emerging marketsNGUYEN Institutional quality, macro liquidity excessive and stock market volatility empirical evidences from emerging markets beside the growth rate of money supply and decompose money growth rate into underlying and non-underlying parts for examining the effects of money on stock market volatility.The rest of the paper is organized as following manner. Section 2 provides a literature review on determinants of stock marke Institutional quality, macro liquidity excessive and stock market volatility empirical evidences from emerging marketst volatility and impacts of institutions and macro liquidity excessive. Section 3 briefly describes the methodology in estimating macro liquidity exceInstitutional quality, macro liquidity excessive and stock market volatility empirical evidences from emerging markets
ssive and examining effects of institutions on stock market volatility. Section 3 also presents our data definitions, calculations, and sources. SectiGọi ngay
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