Department of Banking and Finance, Faculty of Business Administration, University of Nigeria, Nsukka, Enugu State, Nigeria.
Economics and Finance Department, College of Business, The A&M University-Commerce, Commerce, Texas, United States of America.
PLoS One. 2020 Nov 10;15(11):e0240482. doi: 10.1371/journal.pone.0240482. eCollection 2020.
This study investigated in cross-country and panel form the interactions of bank development, stock market development and global equity index, focusing on the BRICS countries covering the period 1990 to 2018. We found a bidirectional causation between bank development (CPSGDP) and stock market performance as proxied by the depth of the markets (MCAPGDP) in the BRICS countries. Cointegration was also found using the panel cointegration framework and the bounds test for the ARDL estimators. This largely proves that a long-run relationship of both direct and reverse nature exists between bank development and stock market performance. For the bank development and market performance models respectively, all the error-correction terms were found to be negatively significant, indicating that they both share dynamic profile and adjust appreciably to deviations from equilibrium between the short run and the long run. The global equity index showed that stock market development interacts more with the global financial environment than bank development in the BRICS countries. Our findings support the complementarity and coevolution hypothesis in the stock market and bank development nexus.
本研究以金砖国家为样本，采用跨国和面板形式，考察了银行发展、股票市场发展与全球股票指数之间的相互作用，时间跨度为 1990 年至 2018 年。我们发现，金砖国家的银行发展（CPSGDP）与市场深度（MCAPGDP）之间存在双向因果关系。我们还使用面板协整框架和基于 ARDL 估计量的边界检验方法发现了协整关系。这在很大程度上证明了银行发展和股票市场表现之间存在长期的直接和反向关系。对于银行发展和市场表现模型，我们发现所有的误差修正项均为负显著，表明它们都具有动态特征，并在短期和长期之间的均衡偏离时进行了显著调整。全球股票指数表明，在金砖国家，股票市场发展与全球金融环境的相互作用比银行发展更为密切。我们的研究结果支持股票市场和银行发展关系中的互补性和共同进化假说。
