Determinants of capital market in the new member EU countries

Figures & data

Table 1. Definition and notations of variables.

Name	Definition	Source
Dependent variable – Indicators of capital market development
Market capitalisation / GDP	share price × total number of shares to GDP	Institutional investors (OECD), WDI
capgdp
Independent variables – Indicators of nonbanking financial intermediation development
Investment funds asset/GDP	Total asset of investment funds to GDP	Institutional investors (OECD), National regulators
fondgdp (+)
Life insurance premium/GDP	Life insurance premium to GDP
lifepremgdp (+)
Pension funds dummypension (+)	Dummy variable: Value [1] for the existing pension funds	EBRD; Transition report (1995–2011)
Structure reforms indicators – EBRD transition indicators
1. indicator of large-scale privatisation, privindex (+)	The value of indicator can be in range [1, 4], with highest grade for countries which can be marked as fully industrialised market economies	EBRD; Transition report (1995–2011)
2. indicator of banking financial institutions reforms, ebrd_bank (+)
Macroeconomic indicators
Inflation CPI (%), cpi (–)	Consumer price index – CPI	WDI
GDP growth (%), GDPgrowth (+)	GDP change per year
Saving rate, savinggdp (+)	Gross domestic saving to GDP
Institutional indicators
Heritage index, herit (+)	The value of indicator in range [0,100]	Heritage foundation

Note: values in brackets represent expected signs of coefficients.

Source: author’s study.

Table 2. Summary statistics, annual data 1995–2010.

Variables	Mod	Maximum	Minimum	Standard deviation
capgdp	20,996	111,223	1,494	15,764
fondgdp	6,016	16,664	0,002	4,319
lifepremgdp	1,150	3,058	0,238	0,534
privindex	3.551458	4	2.67	0.456
ebrd_bank	3,486	4	2,67	0,444
cpi	6,214	28,303	0,102	5,328
gdpgrowth	3,476	10,579	−7,8	3,160
savingdp	22,918	33,387	7,29	4,605
interest	5,721	17,977	−5,194	4,111
herit	60,796	70,2	46,7	5,922

Source: Stata estimations.

Table 3. Regression results.

	Model 1	Model 2	Model 3	Model 4	Model 5
C	−3.749 (0.084)	−2.513 (0.255)	2.748 (0.013)	−27.318 (0.031)	5.083 (0.520)
lncapgdp_1it	0.476* (0.000)	0.372* (0.000)	0.482* (0.000)	0.227** (0.040)	0.261* (0.030)
lnfondgdpit	0.076*** (0.059)	0.066*** (0.091)	–	–	–
lnprivindexit	4.432** (0.019)	3.322*** (0.080)	–	–	–
dummypensionit	–	0.147** (0.043)	–	–	–
lnheritit	–	–	−0.836* (0.008)	–	–
lnebrd_bankit	–	–	1.743* (0.000)	–	–
cpiit	–	–	–	−0.759*** (0.090)	–
gdpgrowthit	–	–	–	0.804*** (0.080)	0.568 (0.267)
savinggdpit	–	–	–	1.998* (0.002)	–
lifepremgdpit	–	–	–	–	10.879** (0.050)
interestit	–	–	–	–	−0.613 (0.338)
Number of observations	66	66	80	80	75
R^2	0.11	0.13	0.75	0.13	0.25
DW (adjusted)	2.06	2.04	1.81	1.95	2.03

Note: Standard errors are in parenthesis below the coefficient estimates. *, ** and *** indicate significance at the 10, 5 and 1% levels, respectively.

Source: Stata estimations.