Title: Financial deepening and stock market returns: panel data analyses for selected developed and developing economies
Authors: Matiur Rahman; Muhammad Mustafa
Addresses: Department of Accounting, Finance and Economics, College of Business, McNeese State University, Lake Charles, LA 70609, USA ' Department of Economics, Agribusiness and Accounting, South Carolina State University, Orangeburg, SC 29117, USA
Abstract: This paper analyses the effects of stock market turnover and liquidity, as measures of financial deepening, on stock market returns in selected 19 developed and 21 developing countries over 1988-2014 by implementing Pedroni's panel cointegration methodology and panel vector error-correction models. Stock market turnover contributes more to stock market returns than stock market liquidity in both selected developed and developing economies. However, the results are much weaker for developing countries than for developed countries.
Keywords: financial deepening; stock market returns; stock market turnover; stock market liquidity; panel cointegration; stock markets; developing countries; developed countries.
International Journal of Monetary Economics and Finance, 2017 Vol.10 No.1, pp.96 - 109
Available online: 02 Jan 2017 *Full-text access for editors Access for subscribers Purchase this article Comment on this article