SỐ 208 | Tháng 7/2023
Đầu tư trực tiếp nước ngoài và phát triển thị trường chứng khoán ở Nepal
Keshab Khatri Chettri, Jeevan Kumar Bhattarai, Ramji Gautam
Tóm tắt:
Mục đích - Mục đích của bài viết này là điều tra tác động của đầu tư trực tiếp nước ngoài (FDI) đến sự phát triển thị trường chứng khoán ở Nepal.
Thiết kế/phương pháp nghiên cứu /phương pháp tiếp cận - Nghiên cứu sử dụng phương pháp đồng liên kết Johansen để xác định mối quan hệ dài hạn và kiểm định mối quan hệ nhân quả VEC Granger để kiểm tra mối quan hệ nhân quả giữa các biến. Mẫu bao gồm dữ liệu chuỗi thời gian hàng năm trong giai đoạn 1996-2020.
Kết quả - Kết quả cho thấy FDI đóng vai trò tích cực đáng kể trong sự phát triển thị trường chứng khoán trong dài hạn nhưng lại có tác động ngược chiều trong ngắn hạn. Mối quan hệ nhân quả một chiều từ FDI tới sự phát triển của thị trường chứng khoán được quan sát thấy trong dài hạn và hai chiều trong ngắn hạn. Có một mối quan hệ tích cực không đáng kể giữa tỷ giá hối đoái và FDI trong ngắn hạn. Sự phát triển của khu vực ngân hàng bổ sung cho sự phát triển của thị trường chứng khoán trong ngắn hạn nhưng đóng vai trò thay thế trong dài hạn. Hệ số tỷ giá hối đoái âm về mặt thống kê ngụ ý rằng sự tăng giá của đồng nội tệ sẽ khuyến khích sự phát triển của thị trường chứng khoán trong dài hạn.
Tính mới/giá trị - Hệ số dương và thống kê của kết quả đồng liên kết cho thấy FDI bổ sung cho sự phát triển của thị trường chứng khoán ở Nepal trong dài hạn. Hơn nữa, sự mất giá của đồng nội tệ có thể góp phần thúc đẩy đầu tư trực tiếp nước ngoài vào Nepal.
Tài liệu tham khảo:
- Abdul Malik, I. and Amjad, S. (2013), “Foreign direct investment and stock market development in Pakistan”, Journal of International Trade Law and Policy, Vol. 12 No. 3, pp. 226-242.
- Al Samman, H. and Jamil, S.A. (2018), “The impact of foreign direct investment (FDI) on stock market development in GCC countries”, Pertanika Journal of Social Science and Humanities, Vol. 26 No. 3, pp. 2085-2100.
- Barnor, C. (2014), “The effect of macroeconomic variables on stock market returns in Ghana (2000-2013)”, Doctoral Dissertation, Walden University, Minneapolis.
- Bista, R.B. (2005), “Foreign direct investment in Nepal”, Economic Journal of Development Issues, Vol. 6 No. 2, pp. 26-35.
- Claessens, S., Klingebiel, D. and Schmukler, S.L. (2001), “FDI and stock market development: complements or substitutes?”, Mimeo, available at: www.iadb.org/res/publications
- Cristina, J. and Levieuge, G. (2017), “Growth effect of FDI in developing economies: the role of institutional quality”, The World Economy, Vol. 40 No. 4, pp. 715-742.
- De Mello, L.R. (1999), “Foreign direct investment-led growth: evidence from time series and panel data”, Oxford Economic Papers, Vol. 51 No. 1, pp. 133-151.
- Demirguc-Kunt, A. and Levine, R. (1996), “Stock markets, corporate finance, and economic growth: an overview”, The World Bank Economic Review, Vol. 10 No. 2, pp. 223-239.
- Dickey, D.A. and Fuller, W.A. (1979), “Distribution of the estimators for autoregressive time series with a unit root”, Journal of the American Statistical Association, Vol. 74 366a, pp. 427-431.
- Dube, S.D. and Shoko, J. (2020), “The impact of macroeconomic variables on stock market development in Zimbabwe (1990-2018)”, Novateur Publications Journal- A Multidisciplinary Peer Reviewed Journal, Vol. 6 No. 9, pp. 88-101.
- Garcia, V.F. and Liu, L. (1999), “Macroeconomic determinants of stock market development”, Journal of Applied Economics, Vol. 2 No. 1, pp. 29-59.
- Hausmann, R. and Fernández-Arias, E. (2000a), “Is FDI a safer form of financing?”, Inter American Development Bank Working Paper 416, April.
- Hausmann, R. and Fernández-Arias, E. (2000b), “Foreign direct investment: good cholesterol?”, Inter American Development Bank Working Paper 417, April.
- Ho, S. (2019), “The macroeconomic determinants of stock market development in Malaysia: an empirical analysis”, Global Business and Economics Review, Vol. 21 No. 2, pp. 174-193.
- Ho, S. and Odhiambo, N.M. (2018), “Analysing the macroeconomic drivers of stock market development in the Philippines”, Cogent Economics and Finance, Vol. 6 No. 1, pp. 1-18.
- Hsing, Y. (2014), “The stock market and macroeconomic factors in Romania and policy implications”, Trends in Economics, Vol. 1 No. 1, pp. 1-7.
- Javed, B. and Akhtar, S. (2012), “Relationship of exchange rate, term structure and money supply (macroeconomic variables) risk on stock market returns”, Interdisciplinary Journal of Contemporary Research Business, Vol. 4 No. 2, pp. 599-625.
- Jeffus, W.M. (2005), “FDI and stock market development in selected Latin American countries”, International Finance Review, Vol. 5, pp. 35-44.
- Kiyota, K. and Urata, S. (2004), “Exchange rate, exchange rate volatility and foreign direct investment”, The World Economy, Vol. 27 No. 10, pp. 1501-1536.
- Majagaiya, K.P. and Gu, Q. (2010), “A time series analysis of foreign direct investment and economic growth: a case study of Nepal”, International Journal of Business and Management, Vol. 5 No. 2, pp. 144-148.
- Masih, M., Al-Elg, A. and Madani, H. (2009), “Causality between financial development and economic growth: an application of vector error correction and variance decomposition methods to Saudi Arabia”, Applied Economics, Vol. 41 No. 13, pp. 1691-1699.
- Muktadir-al-Mukit, D. (2012), “Effects of interest rate and exchange rate on volatility of market index at Dhaka stock exchange”, Journal of Business and Technology (Dhaka), Vol. 7 No. 2, pp. 1-18.
- OECD (2009), “Annex 1: changes from benchmark definition of foreign direct investment 3rd edition”, in OECD Benchmark Definition of Foreign Direct Investment 2008, 4th ed., OECD, Paris.
- Olokoyo, F.O., Ibhagui, O.W. and Babajide, A.A. (2020), “Macroeconomic indicators and capital performance: are the links sustainable?”, Cogent Business and Management, Vol. 7, pp. 1-17.
- Ouma, W.N. and Muriu, P. (2014), “The impact of macroeconomic variables on stock market returns in Kenya”, International Journal of Business and Commerce, Vol. 3 No. 11, pp. 1-31.
- Pesaran, M.H. and Shin, Y. (1999), “An autoregressive distributed lag modelling approach to cointegration analysis”, Econometrics and Economic Theory in the 20th Century: The Ragnar Frisch Centennial Symposium, Cambridge University Press, Cambridge, pp. 371-413.
- Phillips, P.C. and Perron, P. (1988), “Testing for a unit root in a time series regression”, Biometrica, Vol. 75 No. 2, pp. 335-346.
- Phuyal, R.K. and Sunuwar, S. (2018), “A sectoral analysis of foreign direct investment on the economic growth of Nepal”, Journal of Business and Social Sciences Research, Vol. 3 No. 1, pp. 1-14.
- Ramady, M.A. (2013), Political, Economic and Financial Country Risk, Springer, New York.
- Raza, S.A. and Jawaid, S.T. (2014), “Foreign capital inflows, economic growth and stock market capitalization in Asian countries: an ARDL bound testing approach”, Quality and Quantity, Vol. 48 No. 1, pp. 375-385.
- Raza, S.A., Jawaid, S.T., Afshan, S. and Karim, M.Z.A. (2015), “Is stock market sensitive to foreign capital inflows and economic growth? Evidence from Pakistan”, Journal of Chinese Economic and Foreign Trade Studies, Vol. 8 No. 3, pp. 142-164.
- Rehman, I.U., Mahdzan, N.S. and Zainudin, R. (2016), “Is the relationship between macroeconomy and stock market liquidity mutually reinforcing? Evidence from an emerging market”, International Journal of Monetary Economics and Finance, Vol. 9 No. 3, pp. 294-316.
- Sethi, N. and Sucharita, S. (2010), “Impact of foreign direct investment on economic growth in India: an empirical investigation”, Journal of Social and Economic Policy, Vol. 7 No. 2, pp. 143-160.
- Shahbaz, M., Tahir, M.A., Ali, I. and Rehman, I.U. (2014), “Is gold investment a hedge against inflation in Pakistan? A co-integration and causality analysis in the presence of structural breaks”, The North American Journal of Economics and Finance, Vol. 28, pp. 190-205.
- Shan, J. (2005), “Does financial development 'lead' economic growth? A vector auto-regression appraisal”, Applied Economics, Vol. 37 No. 12, pp. 1353-1367.
- Su Dinh, T., Bui Thi, M.H. and Nguyen, V.B. (2017), “Determinants of stock market development: the case of developing countries and Vietnam”, Journal of Economic Development, Vol. 24 No. 1, pp. 32-53.
- Takagi, S. and Shi, Z. (2011), “Exchange rate movements and foreign direct investment (FDI): Japanese investment in Asia, 1987-2008”, Japan and the World Economy, Vol. 23 No. 4, pp. 265-272.
- Tan, L., Xu, Y. and Gashaw, A. (2021), “Influence of exchange rate on foreign direct investment inflows: an empirical analysis based on co-integration and Granger causality test”, Hindawi, Mathematical Problems in Engineering, pp. 1-12.
- Te Velde, D.W. (2006), “Foreign direct investment and development: an historical perspective”, World Economic and Social Survey Working Paper, Overseas Development Institute, Geneva, January.
- Toye, J. (2007), “Poverty reduction”, Development in Practice, Vol. 17 Nos 4/5, pp. 505-510.
- UNCTAD (2022), World investment report.
- Yan, X. and Majagaiya, K.P. (2011), “Relationship between foreign direct investment and economic growth: case study of Nepal”, International Journal of Business and Management, Vol. 6 No. 6, pp. 242-246.
- Yartey, C.A. (2008), “The determinants of stock market development in emerging economies: is South Africa different”, IMF Working Paper 08/38, International Monetary Fund, Washington, DC.
- Yartey, C.A. (2010), “The institutional and macroeconomic determinants of stock market development in emerging economies”, Applied Financial Economics, Vol. 20 No. 21, pp. 1615-1625.
Foreign Direct Investment and Stock Market Development in Nepal
Abstract:
Purpose - The purpose of this paper is to investigate the impact of foreign direct investment (FDI) on the stock market development in Nepal.
Design/methodology/approach - The study used Johansen cointegration approach to determine long-run relationship and VEC Granger causality test to check the causal relations between the variables. The sample covered annual time-series data for the period 1996–2020.
Findings - The results suggest that FDI plays significant positive role in the stock market development in the long-run but inversely affect in the short-run. Unidirectional causality running from FDI to stock market development is observed in the long-run and bidirectional in the short-run. There is an insignificant positive relationship between exchange rate and FDI in the short-run. Banking sector development complements stock market development in the short-run but act as a substitute in the long-run. The statistically negative coefficient of exchange rate imply that the appreciation of the home currency encourage the development of the stock market in the long-run.
Originality/value - The positive and statistical coefficients of cointegration results indicate that FDI complements the development of stock market in Nepal in the long-run. Furthermore, the depreciation of the domestic currency may potentially contribute to the foreign direct investments in Nepal.