Economic growth in oil-exporting countries: Do stock market and banking sector development matter? Evidence from Nigeria

Figures & data

Table 1. List of variables

Variable	Definition	Source
RGDPC	GDP per capita (in constant local currency)	World Development
		Indicators database, World
		Bank (Online)
MCapgdp	Market capitalisation over GDP	Central Bank of Nigeria (CBN)
VTRgdp	Value traded over GDP	Statistical Bulletin
Turn	Value of trades over Market capitalisation
CPSgdp	Domestic credit to private sector over GDP.
M2gdp	Liquid Liabilities over GDP.
BAgdp	Deposit money bank assets to GDP
Oilp	Annual average of international oil prices (US$).	BP Statistical Review of World Energy (June 2015)
trdopen	Trade openness: Total trade (exports plus imports) over GDP.	World Development Indicators database, World Bank (Online)

Table 2. The correlation matrix

Stock Market Development Indicators
	MCapgdp	VTRgdp	Turn
MCapgdp	1.0000
VTRgdp	0.9147	1.0000
Turn	0.6262	0.7951	1.0000
Banking Sector Development Indicators
	CPSgdp	M2gdp	BAgdp
CPSgdp	1.0000
M2gdp	0.9290	1.0000
BAgdp	0.8840	0.9743	1.0000

Table 3. Eigenvalues, proportion and eigenvectors of each first principal component

	STMindex	Bnkindex
Eigenvalues	2.5632	2.8587
Proportion	0.8544	0.9529
Eigenvectors (Loadings)
MCapgdp	0.5755
VTRgdp	0.6124
Turn	0.5420
CPSgdp		0.5678
M2gdp		0.5865
BAgdp		0.5775

Table

H0: no long-run relationship	H1: a long-run relationship
β6 = β7 = β8 = β9 = β10 = 0	β6 ≠ β7 ≠ β8 ≠ β9 ≠ β10 ≠ 0

Table 4. ADF and PP unit root tests

In level I(0) First difference I(1)
Variable	ADF	PP	ADF	PP
lnRGDPC	0.5095	0.2298	−4.2629^***	−4.2485^***
lnSTMindex	−1.0746	−0.9896	−5.1550^***	−5.1550^***
lnBnkindex	−1.6065	−1.6640	−4.9554^***	−4.9996^***
lnMCapgdp	−0.7541	−0.7541	−4.5257^***	−4.4852^***
lnVTRgdp	−0.9347	−0.9855	−5.1428^***	−5.1428^***
lnTurn	−1.7858	−1.7723	−6.1994^***	−6.2582^***
lnCPSgdp	−1.4952	−1.4636	−5.6489^***	−7.3461^***
lnM2gdp	−1.7727	−1.8605	−5.1454^***	−5.3402^***
lnBAgdp	−1.6404	−1.7733	−4.8067^***	−4.7525^***
lnOilp	−0.3816	−0.3328	−4.4782^***	−5.9236^***
lntrdopen	−0.8845	−1.9018	−7.4070^***	−7.4070^***

Notes:All the variables are in the natural log form.

^*** Level of significance at 1%.

Table 5. ARDL-bounds cointegration test

Functions	F-statistic	Result
1. FRGDPC(RGDPC| STMindex, Bnkindex, Oilp, trdopen) ARDL(1, 1, 0, 1, 1)	3.7047^*	Cointegration
2. FRGDPC(RGDPC| STMindex, M2gdp, Oilp, trdopen) ARDL(1, 0, 1, 1, 1)	4.5901^**	Cointegration
3. FRGDPC(RGDPC| MCapgdp, Bnkindex, Oilp, trdopen) ARDL(1, 0, 1, 1, 1)	4.5317^**	Cointegration
4. FRGDPC(RGDPC| MCapgdp, CPSgdp, Oilp, trdopen) ARDL(1, 0, 1, 1, 1)	4.2727^**	Cointegration
5. FRGDPC(RGDPC| MCapgdp, M2gdp, Oilp, trdopen) ARDL(1, 0, 1, 1, 1)	4.4076^**	Cointegration
6. FRGDPC(RGDPC| VTRgdp, BAgdp, Oilp, trdopen) ARDL(1, 1, 0, 1, 1)	4.0453^*	Cointegration
7. FRGDPC(RGDPC| Turn, M2gdp, Oilp, trdopen) ARDL(1, 1, 1, 1, 1)	4.4829^**	Cointegration
8. FRGDPC(RGDPC| MCapgdp, BAgdp, Oilp, trdopen) ARDL(1, 0, 1, 1, 1)	4.5354^**	Cointegration
Critical value bounds	1% 5%	10%
I0 Bound	4.280 3.058	2.525
I1 Bound	5.840 4.223	3.560

Notes: Restricted intercept and no trend (k = 4).

^* Level of significance at 10%.

^** Level of significance at 5%.

Source of critical values: Narayan (2005) Appendix: Case II.

Table 6. Long-run coefficients

	1	2	3	4	5	6	7	8
C	11.2234^***	10.8862^***	11.1078^***	10.9705^***	11.0302^***	11.3278^***	10.8427^***	11.1575^***
	[39.6138]	[38.9647]	[36.1669]	[39.4446]	[36.4707]	[38.5499]	[43.5084]	[38.1201]
lnSTMindex	0.0794	0.0273
	[1.5323]	[0.7234]
lnMCapgdp			0.0535	0.0427	0.0426			0.0598
			[1.3239]	[1.0657]	[1.1191]			[1.4376]
lnVTRgdp						0.0403
						[1.6790]
lnTurn							0.0243
							[0.7862]
lnBnkindex	−0.1185		−0.0385
	[−1.4726]		[−0.6202]
lnCPSgdp				0.0042
				[0.0620]
lnM2gdp		−0.0184			−0.0229		−0.0414
		[0.2424]			[−0.3342]		[−0.5102]
lnBAgdp						−0.1098*		−0.0460
						[−1.7326]		[−0.8698]
lnOilp	0.3548^***	0.3630^***	0.3416^***	0.3372^***	0.3440^***	0.3551^***	0.3784^***	0.3364^***
	[9.2868]	[10.0628]	[8.1607]	[6.9976]	[8.4603]	[10.8736]	[12.5679]	[8.0453]
lntrdopen	0.0400	0.0560	0.0240	0.0328	0.0300	0.0520	0.0750	0.0166
	[0.7960]	[1.0805]	[0.4452]	[0.5824]	[0.5592]	[1.0897]	[1.3674]	[0.3081]

Note: t-statistics in [ ].

^* Level of significance at 10%.

^*** Level of significance at 1%.

Table 7. Short-run error correction estimates

	1	2	3	4	5	6	7	8
ECM(−1)	−0.6622^***	−0.6812^***	−0.6696^***	−0.6461^***	−0.6866^***	−0.6698^***	−0.6634^***	−0.6644^***
	[−5.7138]	[−5.5366]	[−5.4985]	[−5.3099]	[−5.4008]	[−6.0222]	[−5.7223]	[−5.4880]
ΔlnSTMindex	−0.0031	−0.0063
	[−0.1049]	[−0.2158]
ΔlnMCapgdp			0.0279	0.0254	0.0221			0.0312
			[0.8726]	[0.8007]	[0.7014]			[0.9577]
ΔlnVTRgdp						−0.0087
						[−0.5896]
ΔlnTurn							−0.0140
							[−0.8075]
ΔlnBnkindex	−0.1163^**		−0.0915^**
	[−2.5339]		[−2.0931]
ΔlnCPSgdp				−0.0588
				[−1.5885]
ΔlnM2gdp		−0.0880*			−0.0948*		−0.0949*
		[−1.7857]			[−1.9292]		[−1.9134]
ΔlnBAgdp						−0.0976^**		−0.0805^**
						[−2.4756]		[−2.0431]
ΔlnOilp	0.1243^***	0.1372^***	0.1321^***	0.1337^***	0.1328^***	0.1338^***	0.1366^***	0.1369^***
	[3.8422]	[4.1217]	[4.0037]	[4.0228]	[3.9616]	[4.2739]	[4.1561]	[4.1776]
Δlntrdopen	−0.0782^**	−0.0632^*	−0.0746^**	−0.0709^**	−0.0714^**	−0.0729^**	−0.0645*	−0.0774^**
	[−2.5226]	[−1.9942]	[−2.3988]	[−2.2356]	[−2.2755]	[−2.3825]	[−2.0254]	[−2.4891]
Diagnostic tests
Adj R^2	0.9662	0.9656	0.9669	0.9659	0.9666	0.9681	0.9658	0.9669
SC x^2(1)	1.2753(0.1879)	1.3713(0.1730)	0.8331(0.2828)	1.1388(0.2121)	1.2354(0.1946)	1.6663(0.1354)	1.7541(0.1185)	0.7613(0.3038)
Hetx^2(1)	0.4206(0.5059)	0.6938(0.3951)	0.7024(0.3922)	0.4411(0.4959)	0.9474(0.3223)	0.2517(0.6059)	0.2204(0.6290)	0.6911(0.3960)
RESET	0.0384(0.8463)	0.0022(0.9631)	0.0205(0.8873)	0.2135(0.6484)	0.0397(0.8438)	0.0135(0.9084)	0.0381(0.8470)	0.0001(0.9930)

Notes: Adj. R² means Adjusted R-squared. SC is the Breusch–Godfrey serial correlation LM test. Het is the ARCH test for heteroscedasticity, RESET is the Ramsey RESET test; t-statistics in [ ], p-values in ( ).

^* Level of significance at 10%.

^** Level of significance at 5%.

^*** Level of significance at 1%.

Figure 1. Plot of CUSUM and CUSUMSQ for coefficient stability of ECM specification 1.

Figure 2. Plot of CUSUM and CUSUMSQ for coefficient stability of ECM specification 2.

Figure 3. Plot of CUSUM and CUSUMSQ for coefficient stability of ECM specification 3.

Figure 4. Plot of CUSUM and CUSUMSQ for coefficient stability of ECM specification 4.

Figure 5. Plot of CUSUM and CUSUMSQ for coefficient stability of ECM specification 5.

Figure 6. Plot of CUSUM and CUSUMSQ for coefficient stability of ECM specification 6.

Figure 7. Plot of CUSUM and CUSUMSQ for coefficient stability of ECM specification 7.

Figure 8. Plot of CUSUM and CUSUMSQ for coefficient stability of ECM specification 8.

Narayan, P. K. (2005). The saving and investment nexus for China: Evidence from cointegration tests. Applied Economics, 37, 1979–1990. doi:10.1080/00036840500278103

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