Tang, Hau Ming (2014) Bank, stock market and economic growth in ASEAN-4: Evidence from linear and nonlinear methods. Masters thesis, Universiti Malaysia Sabah.
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Abstract
The relationship between bank and economic growth as well as stock market and economic growth in ASEAN-4 countries is still debated. One of the factors that attribute to inconclusive results is lack of study examine the nexus between stock market and economic growth in ASEAN-4. The other factors include no satisfactory indicator to measure the bank and the lack of awareness trend about the nonlinear relationship between the variables. This study adopts the size and activity to measure the development of bank and stock market, and both the linear and nonlinear Granger causality test to examine the causality between the variables. However, the BDS test detects the residuals in the linear Granger causality test are no identically independently distributed (i.i.d.) and this suggests that the existence of nonlinearities. Thus, the nonlinear Granger causality test is more appropriate to investigate the causal relationship between the variables. The result shows that the role of stock market is important to economic growth in Malaysia, Thailand and the Philippines. Moreover, there is a significant nonlinear causality between bank size and economic growth in ASEAN-4 countries. From bank activity, there is a significant nonlinear causality from bank activity to economic growth in Thailand, the Philippines and Indonesia. However, there is a reverse nonlinear causality from economic growth to bank activity in Malaysia. Therefore, policy-makers and governments may consider the nonlinearity in their researches before planning the policy or making decision to enhance their financial system.
| Item Type: | Thesis (Masters) |
|---|---|
| Keyword: | Bank and economic growth, Stock market and economic growth, Asean-4 countries, Bank size, Bank activity, Economic growth, Financial development |
| Subjects: | Q Science > QA Mathematics > QA1-939 Mathematics > QA299.6-433 Analysis |
| Department: | FACULTY > Faculty of Science and Natural Resources |
| Depositing User: | DG MASNIAH AHMAD - |
| Date Deposited: | 07 Apr 2025 12:08 |
| Last Modified: | 07 Apr 2025 12:08 |
| URI: | https://eprints.ums.edu.my/id/eprint/43372 |
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