Borsa gelişmesi ve ekonomik büyüme ilişkilerinin nedensellik analizi

Abstract

ÖZET Borsaların ekonomik büyümeni likidite, risk farklılaştırması, bilgi yönetimi, tasarruf birikimi fonksiyonları aracılığıyla etkilediği literatürdeki araştırmalar tarafından gösterilmiştir. Fakat ekonomik büyüme de, ekonomideki ortalama gelir düzeyini artırarak borsaların sundukları finansal hizmetlere talep oluşturmaktadır. Bu zaman ortaya bir soru çıkmaktadır. Borsa gelişmesi mi ekonomik büyümeden önce gelmekte ve ekonomik büyümenin habercisi olmaktadır, yoksa ekonomik büyüme mi, borsa gelişmesinin nedeni olmakta ve borsa gelişmesini haber vermektedir? Bu soruyu cevaplandırmak için araştırmamızda borsa gelişmesi ve ekonomik büyüme değişkenleri arasındaki nedensellik ilişkileri panel veri kullanılarak analiz edilmiştir. Borsa gelişme göstergesi olarak borsa likiditesi ve borsa hacmini kapsayan karma borsa gelişme endeksi kullanılmıştır. Araştırma yöntemi olarak Granger nedensellik testi kullanılmıştır. Araştırma verileri 20 ülkeye ait 1981-1994 yıllan zaman serisini kapsamaktadır. Borsa gelişmesi ve ekonomik büyüme değişkenleri arasında yapılan Granger nedensellik testi ile borsa gelişmesi ve ekonomik büyüme değişkenleri arasında çift yönlü nedensellik ilişkisi bulunmuştur. Panel veri analizi sonucunda ekonomik büyümenin borsa gelişmesi üzerinde hem kısa, hem uzun dönemde etkili olduğunu, borsa gelişmesinin ise ekonomik büyüme üzerinde sadece uzun dönemde etkili olduğu bulunmuştur. Ülke kategorilerine göre yapılan karşılaştırma analizleri sonucunda ise borsa gelişmesi ve ekonomik büyüme arasındaki nedensellik ilişkilerinin ülkelerin gelir düzeyi, ortalama ekonomik büyüme oram, ortalama borsa gelişmesi düzeyi ve coğrafi mevkii gibi faktörlerden bağımlı olduğu gözlemlenmiştir. Araştırmanın sonuçlan istikrarlı ve hızlı ekonomik büyüme için borsaları geliştirilmesi gerektiğini önermektedir.

SUMMARY Is the financial system important for economic growth? This question has been long discussed in the field of economic development. While one line of research argues that it is not; another line stresses the importance of the financial system in mobilizing savings, allocating capital, exerting corporate control, and easing risk management. The dominant view is inclined to accept the crucial role of financial development in economic growth. The empirical researches found strong correlation between economic growth and financial development indicators. Financial development tends to increase the volume and efficiency of investments. Provided that financial development is crucial for successful economic growth, the crucial question comes to the mind. Which sector, financial or real, leads in the dynamic process of economic development? Two possible patterns may be identified in the causal relationship between financial development and economic growth. In the first, growth induces an expansion of the financial system. According to this view, called `demand following,` the lack of financial growth is a manifestation of the lack of demand for financial services. As the real side of economy develops, its demands for various new financial services materialize, and these are met rather passively from the financial side. In the second pattern the expansion of financial system proceeds the demand for financial services. Channeling scarce sources from small savers to large investors according to relative rates of return, the financial sector proceeds and induces real growth. Researches in the financial development and economic growth literature assert that the direction of causality changes over the course of development. In these views,financial development is able to induce real innovation-type investment before sustained modern economic growth gets under way, and as the process of real growth occurs, the supply-leading impetus gradually becomes less important, and the demand-following financial response becomes dominant. Empirical researches testing this thesis support the view that feedback causality relationship exists between financial development and economic growth. In this study we are going to test causality relationship between stock market development and economic growth and to see whether the causality relationship between these two variables is similar to above mentioned causality relationship between financial development and economic growth. The importance of this question may be perceived through examining the impressive growth and globalization of emerging and developed stock markets. In 1994, market capitalization of emerging stock markets was $ 1.9 trillion, compared to $ 0.2 trillion in 1985. These developments attracted the attention of academics, practitioners, and policymakers. Studies about importance of stock markets for economic growth show that stock markets may affect economic growth through several ways. Stock markets offer liquidity that ease transaction between investors and savers. Risk diversification through internationally integrated stock markets is another vehicle by which stock markets may influence economic growth. Stock markets may also promote the acquisition of information about firms which increase the efficiency of investment projects, therefore economic growth. Stock markets may also influence corporate control, which mitigate the principal-agent problem and promote economic growth. At the end stock markets ease saving mobilization which directly mean high economic growth rate. Giving that stock market affects economic growth through several ways, economic growth also may influence stock market development by creating demand for servicesjpravjded by stock markets. So to answer the above stated question about the nature of causality relationship between stock market development and economic growth gains importance. XITo answer this question we conducted Granger causality test between stock market development and economic growth variables. Granger causality study measures the significance of predictability power of one variable upon another one. Granger's operational definition of causality for temporal systems has received wide attention from both theoretical econometricians and empirical researchers. Although Granger's definition is not equivalent to the definitions of `causation` in the philosophy of science, the existence of causal ordering in Granger's sense gives enough motivation for further research in finding a low of causation, as the latter concept of causation implies the former causality. Moreover, predictability and exogeneity implied by the Granger causality are quite useful in empirical work. We used real per capita GDP growth rate as a proxy for the real economic growth, is used as a proxy for stock market development that includes market size and market liquidity dimensions of stock market development. The simple average of mean- removed market capitalization ratio, total value traded/GDP ratio and turnover ratio was used as a conglomerate index of stock market development. Since many stock market indicators are significantly correlated in an intuitively plausible fashion, we consider that our conglomerate stock market development index variable sufficiently reflect the stock market development level. Since panel data have many advantages over single cross sectional or time series data, panel data was used in order to obtain generalized results of causality relations of stock market development and economic growth. We selected 20 countries having average 14 annual observations, of which 14 are high-income countries, to construct panel data. We classified countries according to World Bank classification criteria. Time series cover 1981-1994 period. For each country two Granger causality test were conducted with two different, two and three, lag length. Determining analiz appropriate lag length was always tricky in Granger causality studies. We limited the maximum lag length to three years, taking the limited observation number into account. *. Using the panel data, the results of our study of causal relationships between stock market development and economic growth was somewhat different compared to studies conducted between financial development and economic growth variables. XllWe found two way causality relationships between stock market development and economic growth variables for 3 lag periods. But, the results of Granger causality test for 2 lag periods were different. We found one way causality relationship, from economic growth to stock market development for 2 lag periods. However, different results for different lag periods were unexpected, it implies that the effects of economic growth on stock market development is stronger than effects of stock market development on economic growth. Moreover, this conflict shows that economic growth is effective on stock market development in short and long run, while stock market development is effective on economic growth only in the long run. This result doesn't support Patrick hypothesis for the causality relationships between stock market development and economic growth. The leading power in stock market development and economic growth appears to be economic growth. This result may be anticipated and interpreted in the light of the place of stock market in the financial development process. Goldsmith showed that the financial development process begins with the development of the banking institutions. Stock market development comes after the banking institution development process and proceeds economic growth. So stock market development comes behind economic growth process. Our analysis of causality relationships between stock market development and economic growth according to different classifications yield interesting results. First, we found that stock market development is strongly effective on economic growth for middle income countries, while no special causality pattern is observed for high income countries which constitute the majority of our cross sectional data. Second, countries with above average growth rates are inclined to have strong stock market development caused causality relationship in the short run. Third, countries with low average stock market development index tend to have strong stock market development caused causality relationship in the short run. And, last, Asian countries to have strong stock market development caused causality relationship in the short and long ran. At the end, we interpreted our findings for each country. Our findings show that causality relationships exist only in the nine out of twenty countries included to our analysis. There was the causality relations between stock market development and xmeconomic growth for the countries such as Germany, Belgium, Indonesia, Sweden, Japan, Norway, Pakistan, Turkey and Greece. This low percentage may be best explained by small observation numbers. Two-way causality relationships was found for Sweden and Pakistan. One way causality from stock market development to economic growth was found for Indonesia, Japan, Norway, Turkey and Greece. One way causality from economic growth to stock market development was characteristic for Germany and Belgium. Our study may have application fields in liberalizing stock markets. Though, this concept hasn't been settled in economic literature, promoting stock markets is the example to the implementation of stock market development. The findings in the present study suggest that there exist much room for further research in this area of stock market development and economic growth. One might try to lengthen time-series data on an individual country to see how causal patterns evolve over time within the same country. Also, the behavior of the conglomerate stock market development index variable warrants detailed reinvestigation. More sophisticated stock market development index variable may be employed in further studies. In the other hand, considering different variances and autocorrelations in the panel data analysis will increase the reliability of the results of the study. The study of the implementations of the results of this study can be another further study field. XIV