Market capitalization

About: Market capitalization is a research topic. Over the lifetime, 3583 publications have been published within this topic receiving 77288 citations. The topic is also known as: market cap & market value.

Stock market capitalization and financial integration in the Asia Pacific region

Abstract: The Stock Market Capitalization (SMC) of a country, defined as the aggregated market value equity of companies in the respective equity market, is commonly used to measure the widening and deepening of stock market activity. SMC also influences economic growth predictions and public consensus concerning the value of the stock market. However, no previous work has examined the role this variable plays in the process of financial integration. This article provides an argument for the use of SMC as a means of deciding which countries are acting as leaders in creating a fully integrated equity market in the Asia Pacific region. A total of 12 countries in the Asia Pacific region were divided into ‘Emerging Market’ and ‘Advanced Market’ equity blocks. We examine the relative size of the speed of adjustments derived from the error correction models following the Engle–Granger two-step procedure framework and apply the Granger causality test. The results suggest that Hong Kong Special Administrative Region (SAR) ...

Effects of Interest Rate and Exchange Rate on the Stock Market Performance of Pakistan: A Cointegration Approach

Abstract: This research paper is an endeavor to empirically investigate the economic effects of interest rates and exchange rates on stock market capitalization by considering annual data for Pakistan covering the 1990-2017 periods. The main intention of this research is to analyze the short-run together with the long-run interconnections between the aggregate market capitalization and macroeconomic variables by employing the econometric tools of Johansen approach, Error Correction Model (ECM) and then inspection of Variance Decomposition. And finally, causal linkages have been explored by the application of Granger-Causality test. By applying the Johansen Jeselius approach, it is detected that the whole series of data are co-integrated showing the long-term relationships among the examined variables. The long-term coefficient shows that a 1% increase in interest rate and in exchange rate contributes 0.23% decrease and 3.17% increase in market capitalization, respectively. The estimated ECM lagged value illustrates that in the short period, 22.07% volatility of market capitalization are corrected per annum to reach at the steady-state. And the analysis of Granger-causality tool reports the existence of a unidirectional causality from foreign exchange rate to interest rate. The further reduction of bank rate in the economy has been recommended in this study to facilitate the financial sector development as well as to stimulate the investment level both nationally and internationally.

The Interplay Between the Thai And Several Other International Stock Markets

Abstract: The paper analyses the effect of various international stock market price indices and some relevant macroeconomic variables on the Thai stock market price index, using a GARCH-M model and monthly data from January 1988 to December 2004. It is found, inter alia, that (a) changes in stock market returns in Singapore, Malaysia and Indonesia in the pre-1997 Asian crisis, and changes in Singapore, the Philippines and Korea in the post-1997 era instantaneously influenced returns in the Thai stock market; (b) changes in the price of crude oil negatively impacted on the Thai stock market only in the pre-Asian crisis period; (c) volatility clustering (i.e. ARCH and GARCH effects) as well as a GARCH-M model were statistically significant only in the pre-1997 era; and (d) stock markets outside the region had no significant immediate impact on monthly aggregate returns in the Thai stock market.

The Australian Stock Market’s Reaction to the First Wave of the COVID-19 Pandemic and Black Summer Bushfires: A Sectoral Analysis

Abstract: In this study, we investigated the impact of the first wave of the COVID-19 pandemic on various sectors of the Australian stock market. Market capitalization and equally weighted indices were formed for eleven Australian sectors to examine the influence of the pandemic on them. First, we examined the financial contagion between the Chinese stock market and Australian sector indices through the dynamic conditional correlation fractionally integrated generalized autoregressive conditional heteroskedasticity (DCC-FIGARCH) model. We found high time-varying correlations between the Chinese stock market and most of the Australian sector indices, with the financial, health care, information technology, and utility sectors displaying a decrease in co-movements during the pandemic. The Modified Iterative Cumulative Sum of Squares (MICSS) analysis results indicated the presence of structural breaks in the volatilities of most of the sector indices around the end of February 2020, but consumer staples, industry, information technology and real estate indices did not display any break. Markov regime-switching regression analysis depicted that the pandemic has mainly affected three sectors: consumer staples, industry, and real estate. When we considered the firm size, we found that smaller companies in the energy sector exhibited gradual deterioration, whereas small firms in the consumer staples sector experienced the largest positive impact from the pandemic.

The Effects of Information Communication Technology on Stock Market Capitalization: A Panel Data Analysis

Abstract: The level of investment in information communication technologies (ICT) that may affect stock market capitalization varies substantially across countries. Using data on 81 countries from 1998 to 2014, we use a country-fixed effects model to estimate the relationship between ICTs and stock market capitalization. Our empirical model is built on the premise that (1) increased deployment of ICT allows financial market participants to make more informed decisions at reduced inherent risks associated with deficient information or uncertainty in financial markets; and (2) increased access to and use of information communication technologies is expected to improve a country's economic fundamentals. The empirical results support our hypothesis that ICT expansions are positively associated with stock market capitalization.