اثر توسعه بازار سهام بر رشد و سرمایه گذاری خصوصی در کشورهای کم درآمد

Recent literature argues that stock market liberalisation has positive long- and short-run effects on macroeconomic growth and private investment, respectively. However, given a sample of up to 64 countries from 1981 through 1998, positive results for long-run growth are largely dependent on the inclusion of higher-income countries in regression samples, which limits the relevance for lower-income nations. Indeed, some evidence in this study indicates that stock market development has a more positive impact on growth for greater levels of per capita GDP, lower levels of country credit risk, and higher levels of legal development. Similarly, using a sample of 26 countries from 1981 through 1998, lagged equity price appreciation seems to boost private investment growth in the short-run, but only in rich countries. All in all, these results imply subdued enthusiasm regarding emerging equity market development.

Recent literature germane to practitioners, policymakers, and academics argues that lower-income countries should liberalise their stock markets. This paper examines both the long- and short-term transmission mechanisms that support this component of capital account reform. The long-run view (Levine and Zervos, 1998a and Levine and Zervos, 1998b) argues that reform advances overall stock market development, which in turn enhances macroeconomic growth. The short-run view suggests that reform produces a one-time increase in stock prices, which in turn boosts private investment given the decrease in the cost of equity capital (Henry, 2000a and Henry, 2000b). This paper re-examines the final phases of both causal paths. First, considering the long run, several factors recommend re-examining the empirical link between stock market development measures and macroeconomic growth. Most germane to practitioners, previous econometric evidence includes higher-income countries in samples that produce positive relations, and a growing literature suggests that determinants of expansion differ across national income levels. Therefore, this study tests whether the positive correlation is robust in samples of exclusively emerging markets. If the relation between stock markets and growth is confined to higher-income countries, then the long-run perspective on stock market liberalisation would seem less applicable to poorer countries. Second, with respect to the final phase of the short-run mechanism, this paper tests how private investment responds to changes in stock market valuation in both higher- and lower-income markets. While most research on Tobin's q and related mechanisms focuses on developed markets, particularly the United States (Barro, 1990), there is a dearth of evidence on emerging markets. Also, similar to the relation between stock market development and growth, this study examines the notion that the association between valuation changes and investment is more pronounced in higher-income cases. If the elasticity between valuation and investment is less salient or even non-existent in lower-income countries, then the short-run mechanism would also seem less persuasive for developing areas. Section 2 outlines previous literature and econometric results, and Section 3 explains the motivation for re-examining the apparent positive empirical links between stock market development and growth in the long-run and between equity valuation and private investment in the short run. Section 4 presents the results regarding long-run growth, and Section 5 presents the results for private investment. Section 6 concludes.

This paper examines both long- and short-run hypotheses regarding the effects of stock market reform and development on macroeconomic indicators, particularly long-run growth and private investment, in lower-income countries. There are critical reasons to re-examine these hypotheses. Most generally, considerable research on a variety of variables that purport to explain macroeconomic performance suggests that results differ considerably across lower, middle, and higher-income countries. More specific to this research question, some data also indicate the stock markets differ considerably in emerging and developed markets with respect to both ‘microstructure’ and return factors. Indeed, the results in this paper seem to indicate that stock market behaviour has varying real effects depending on the initial level of income. With respect to growth and equity market development, the long-run model suggests that higher-income countries drive the overall positive relation. Also, interaction terms with initial GDP and country credit ratings are largely positive and significant, and a few legal intervening variables are also robust. The econometrics on private investment produces similar results. Lagged valuation changes clearly affect private investment decisions in higher- but not lower-income countries. Statistical interactions with initial GDP and country credit are significant, but curiously, neither financial development nor legal-related variables seem to be key intervening factors. Therefore, further research into what aspect of development, more specifically, mitigates the real effects of stock market behaviour would be instructive. Meanwhile, both long- and short-run transmission mechanisms from stock market liberalisation to desirable macroeconomic performance seem somewhat questionable in the context of lower-income countries. There is very little evidence of detrimental effects, even extending the sample through 1998, but the positive benefits of reforms are hardly self-evident.