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Proceedings of
The 26 International Business Information Management Association Conference
th
November 11-12, 2015
Madrid, Spain
ISBN: 978-0-9860419-5-2
Innovation Management and Sustainable Economic Competitive Advantage:
From Regional Development to Global Growth
Editor
Khalid S. Soliman
International Business Information Management Association (IBIMA)
Copyright 2015
Proceedings of 26th IBIMA2015 Conference, 11th-12th November 2015, Madrid, Spain
ISBN: 978-0-9860419-5-2
Innovation and Sustainable Economic Competitive Advantage: From Regional Development to Global Growth
Conference Chair
Khalid S. Soliman
International Business Information Management Association, USA
Program Chair
Gregorio Martín-de-Castro
The Complutense University of Madrid, Spain
Organizing Committee Chair
Susana de Juana Espinosa,
University of Alicante, Spain
Conference Advisory Committee
John F. Affisco, Hofstra University, USA
Abdul Rahman Ahmad, Universiti Tun Hussein Onn Malaysia, Malaysia
Omar Al-Azzam, University of Minnesota Crookston, USA
Hesham H. Ali, University of Nebraska at Omaha, USA
Najiba Benabess, Norwich University, Northfield, USA
Az-Eddine Bennani, Reims Management School, France
Emil Boasson, Central Michigan University, USA
Regina Connolly, Dublin City University, Ireland
Reggie Davidrajuh, Stavanger University College, Norway
Susana de Juana Espinosa, Universidad de Alicante, Spain
Xiuzhen Feng, Beijing University of Technology, China
Mohammad Ayub Khan, Technologico de Monterrey, Mexico
Sherif Kamel, The American University in Cairo, Egypt
Roman Povalej, University of Karlsruhe (TH), Germany
Alcina Prata, ESCE, Portugal
Muhammad Najib Razali, Universiti Hussein Onn Malaysia, Malaysia
Joseph Sarkis, Clark University, USA
Najib Saylani, Florida State College at Jacksonville, USA
Magdy Serour, InContext Solutions, Australia
Amine Nehari Talet, King Fahd University of Petroleum & Mineral, KSA
Abraham G. van der Vyver, Monash University, South Africa
Dianne Wingham, Australia
Paul H.P. Yeow, Monash University, Sunway Campus, Malaysia
II
Proceedings of 26th IBIMA2015 Conference, 11th-12th November 2015, Madrid, Spain
ISBN: 978-0-9860419-5-2
Innovation and Sustainable Economic Competitive Advantage: From Regional Development to Global Growth
Program Committee
Mohamed N. A. Abdelhakim, University Al Ghurair, UAE
Tarek Abdellatif, University SUPTECH, Tunisia
Mohd Helmy Abd Wahab, Univ. Tun Hussein Onn Malaysia, Malaysia
Azizan Abdullah, Universiti Teknologi MARA, Malaysia
Haslinda Abdullah, National Defence University of Malaysia, Malaysia
Lahsen Abouenour, Mohammed V Rabat University, Morocco
Jennifer Abou Hamad, Notre Dame University, Lebanon
Ahmad Abu Alrub, Cyprus International University, North Cyprus (TRNC)
Nasrine S. Abushakra, Leigh University, USA
Mirela Ionela Aceleanu, The Bucharest University of Economic Studies, Romania
Pavel Adámek, Silesian University in Opava, School of Business Administration in Karvina, Czech
Republic
Mayowa G. Agboola, Covenant University, Nigeria
Abd Rahman Ahmad, Universiti Tun Hussein Onn, Malaysia
Faudziah Ahmad, Universiti Utara Malaysia, Malaysia
Khalifa Ahsina, Ibn Tofail University, Morocco
Sidi Mahmoud Aidara Mbibi, Université Laval, Canada
Othman Akmal Aini, Universiti Teknologi MARA Johor, Malaysia
Adel Ismail Al-Alawi, University of Bahrain, Bahrain
Ali Alashwal, University of Malaya, Malaysia
Tahereh Alavi Hojjat, DeSales University, USA
Philip Alege, Covenant University, Nigeria
Abeer Hmoud Al-Faouri, Al-Balqa Applied University, Jordan
Abdullah Al-Hamdani, Sultan Qaboos University, Oman
Abdullah Alharbi, University of Technology, Sydney, Australia
Dawuda Alhassan, Tomas Bata University in Zlin, Czech Republic
Mohammad Mansour Fawwaz Al-Khasawneh, The World Islamic Sciences and Education University
(WISE), Jordan
Kamla Ali Al-Busaidi, Sultan Qaboos University, Oman
Zahran Al-Salti, Sultan Qaboos University, Oman
Munadil Khaleel Faaeq Al-Sammarraie, Cihan University, Iraq
Haya Alshehri, University of Salford, UK
Dea’a Al-Deen Omar Al-Sraheen, Al-Zaytoonah University of Jordan, Jordan
Yehia Alzoubi, University of Technology Sydney (UTS), Australia
Tijani Amara, Gafsa University, Tunisia
Luis Amaral, University of Minho, Portugal
Ikram Amous Ben Amor, Sfax University, Tunisia
Lekan Amusan, Covenant University, Nigeria
Rahma Amri, Ecole Nationale des Sciences de l’Informatique (ENSI), Tunisia
Rahul Anant Kulkarni, Smt.S.M.Agrawal Institute of Management,Chalisgaon,North Maharashtra
University, India
Jean Vasile Andrei, Petroleum-Gas University of Ploiesti, Romania
Klara Antlova, Technical University of Liberec, Czech Republic
Herman Shah Anuar, Universiti Utara Malaysia, Malaysia
Anisoara Niculina Apetri, Stefan Cel Mmare University Suceava, Romania
Mohd Noah A. Rahman, Institut Teknologi Brunei, Brunei
Nicoleta Asalos, Ovidius University of Constanta, Romania
Aderemi A. Atayero, Covenant University, Nigeria
Ahmed Azam, DeVry University, USA
A. A. Azeta, Covenant University, Nigeria
Dominic Azuh, Covenant University Ota, Nigeria
Naima Bakor Bogari, King Abdulaziz University, Saudi Arabia
III
Proceedings of 26th IBIMA2015 Conference, 11th-12th November 2015, Madrid, Spain
ISBN: 978-0-9860419-5-2
Innovation and Sustainable Economic Competitive Advantage: From Regional Development to Global Growth
Jolanta Baran, Silesian University of Technology, Poland
Nicoleta Bărbuţă-Mişu, ”Dunărea de Jos” University of Galati, Romania
Vladimir Bartosek, Brno University of Technology, Czech Republic
Lorena Batagan, Bucharest University of Economics, Romania
Emad Bataineh, Zayed University, UAE
Blanka Bazsova, VŠB-Technical University of Ostrava, Czech Republic
Jon W. Beard, Purdue University, USA
Silviu Beciu, University of Agronomic Sciences and Veterinary Medicine of Bucharest, Romania
Ines Belgacem, Institut des Hautes Etudes Commerciales Sousse, Tunisia
Hassan Bellihi, Ibn Zohr University, Morocco
Nicola Bellantuono, Politecnico di Bari, Italy
Hanene Ben-Abdallah, King Abdulaziz University, Faculty of Computing and Information Technology,
KSA
Nadia Ben Romdhane, University Sousse, Tunisia
Imene Ben Yahia, University of Sousse, Tunisia
Intan Nurbaizura Binti Zainuddin, Universiti Teknologi MARA, Malaysia
Ainur Zaireen Binti Zainudin, UTM, Malaysia
Michaela Blahová, Tomas Bata University in Zlin, Czech Republic
Dita Blažková, Brno University of Technology, Czech Republic
Nicolae Bobitan, West University of Timisoara, Romania
Gratiela Dana Boca, Technical University of Cluj Napoca, Romania
Constanta-Nicoleta Bodea, Bucharest University of Economic Studies, Romania
Alexandru Bodislav Dumitru, Bucharest University of Economic Studies, Romania
Cîmpan Bogdan, Bucharest University of Economic Studies, Romania
Carmen Boghean, Stefan cel Mare University, Romania
Monica Boldea, West University of Timisoara, Romania
Irina Boncea, Bucharest University of Economic Studies, Romania
Daniela Liliana Borisov (Hincu), University of Economic Studies in Bucharest, Romania
Ionel Bostan, University ”Stefan cel Mare” Suceava, Romania
Josef Botlík, Silesian University in Opava, School of Business Administration in Karvina, Czech Republic
Milena Botlíková, Silesian University in Opava, Czech Republic
Liviu Bozga, Polithenica Bucharest, Romania
Hafida Bouarfa, University Blida 1, Algeria
Stéphane Bourliataux-Lajoinie, University IAE de Tours, France
Ioana-Alexandra Bradea, Bucharest Academy of Economic Studies, Romania
Béchir Brahmi, Central University, Tunisia
Frederico Branco, University of Trás-os-Montes e Alto Douro, Portugal
Pavla Breckova, University of Finance and Administration (abr. VSFS, www.vsfs.cz), Czech Republic
Mazni Bte Alias, Multimedia University (Cyberjaya), Malaysia
Alena Buchalcevova, University of Economics, Prague, Czech Republic
Cristian Bucur, Petroleum-Gas University Ploiesti, Romania
Marius Bulearca, Center for Industry and Services Economics, Romanian Academy, Bucharest, Romania
Nicoleta Ramona Bunda, Ovidius University of Constanta, Romania
Denisa-Florentina Burcea, University UASVM Bucharest, Romania
Marek Bureš, University of West Bohemia, Czech Republic
Vladimír Bureš, University of Hradec Králové, Czech Republic
Cristina Burghelea, Hyperion University, Romania
Mihail Buşu, The Bucharest University of Economic Studies, Romania
Simona Buta, Stefan Cel Mare University Of Suceava, Romania
Dagmar Čámská, Czech Technical University in Prague, Czech Republic
Lourdes Canós Darós, Universitat Politècnica de València, Spain
Anatolie Caraganciu, University ULB of Sibi, Romania
Mihai Carp, “Alexandru Ioan Cuza” University of Iaşi, Romania
Alejandro Cataldo, University of Talca, Chile
Luis Cavique, Univ. Aberta, Portugal
IV
Proceedings of 26th IBIMA2015 Conference, 11th-12th November 2015, Madrid, Spain
ISBN: 978-0-9860419-5-2
Innovation and Sustainable Economic Competitive Advantage: From Regional Development to Global Growth
Vladimír Chalupský, Brno University of Technology, Czech Republic
Aw Yoke Cheng, iCOOP College, Malaysia
Goh Choon Yih, Multimedia University, Malaysia
İbrahim Çil, Sakarya University, Turkey
Bianca Cirjaliu, University Politehnica of Timisoara, Romania
Laura Mariana Cismas, West University Of Timisoara, Romania
Maria Ciurea (Măcriș), University of Petroșani, Romania
Oana-Antonia Colibasanu, University of Bucharest, Romania
Seria Crina, Bucharest University of Economic Studies, Romania
Eduard Gabriel Ceptureanu, Bucharest University of Economic Studies, Romania
Sebastian-Ion Ceptureanu, Bucharest University of Economic Studies, Romania
Nizar Chaari, Université du Québec à Montréal, Canada
Donna Champion, Loughborough University, UK
Noorshella Che Nawi, University UMK, Malaysia
Gan Chin Chuan, Sunway University, Malaysia
Sock Lee Ching, University Science Malaysia, Malaysia
Vít Chlebovský, University TU Brno, FBM, Czech Republic
Zuzana Chvatalova, Brno University of Technology, Czech Republic
Carmen Nadia Ciocoiu, Bucharest University of Economic Studies, Romania
Cristian Ciurea, Bucharest University of Economic Studies, Romania
Adela Coman, University of Bucharest, Romania
Daniela Creţu, The University of Agronomic Sciences and Veterinary Medicine Bucharest, The Faculty of
Management, Economic Engineering in Agriculture and Rural Development – Calarasi Branch, Romania
Costin Damasaru, National University of Political Studies and Public Administration (NUPSPA), Romania
Mihai-Ionut Danciu, Polytechnic University of Timisoara, Romania
Tatiana Dănescu, University Petru Maior Tg. Mures, Romania
Maria-Iuliana Dascalu, University Politehnica of Bucharest, Romania
Aristides Dasso, Universidad Nacional de San Luis, Argentina
Chamaru De Alwis, University of Kelaniya, Sri Lanka
Camelia Delcea, Bucharest University of Economic Studies, Romania
Pasquale Del Vecchio, University of Salento, Italy
Imen Derouiche, University of Tunis, Tunisia
Fitim Deari, South East European University, Macedonia
Roxana Manuela Dicu, “Alexandru Ioan Cuza” University of Iasi, Romania
Emil Dinga, Romanian Academy, Romania
Diana Dobrescu, The Bucharest University of Economic Studies, Romania
Răzvan Mihai Dobrescu, Universitatea Politehnica Bucharest, Romania
Madalina Dociu, Bucharest Academy of Economic Studies, Romania
Ozgur Dogerlioglu, Bogazici University, Turkey
Aura Emanuela Domil, West University of Timisoara, Romania
Sławomir Dorocki, Pedagogical University of Cracow, Poland
Irina Madalina Doroftei, Bucharest University of Economic Studies, Romania
Radek Doskocil, Brno University of Technology, Faculty of Business and Management, Czech Republic
Karel Doubravský, Brno University of Technology, Czech Republic
Petr Doucek, University of Economics, Prague, Czech Republic
Elia Georgiana Dragomir, Petroleum- Gas University of Ploiesti, Romania
Laurentiu Droj, University of Oradea, Romania
Elena Druica, University of Bucharest, Romania
Josef Dvorak, University of West Bohemia in Pilsen, Czech Republic
Maria Elizabeth Eggink, Tshwane University of Technology, South Africa
Chiraz El Hog, University Sfax, Tunisia
Hanane Ellioua Zemmama, University Hassan 1st, Morocco
Paula Fernández González, University Oviedo, Spain
Isabel Ferreira, Polytechnic Institute of Cávado and Ave (IPCA), Portugal
Elena Fifeková, Ekonomická univerzita v Bratislave, Slovakia
V
Proceedings of 26th IBIMA2015 Conference, 11th-12th November 2015, Madrid, Spain
ISBN: 978-0-9860419-5-2
Innovation and Sustainable Economic Competitive Advantage: From Regional Development to Global Growth
Bogdan Florin Filip, ”Al. I. Cuza” University of Iasi, Romania
Gina Fintineru, University of Agronomic Sciences and Veterinary Medecine, Bucharest, Romania
Dorian-Laurentiu Florea, The Bucharest University of Economic Studies, Romania
Adegboye Folasade Bosede, Covenant University, Nigeria
Iulian Furdu, University Vasile Alecsandri of Bacau, Romania
Liem Gai Sin, Ma Chung University, Indonesia Karin Gajdová, Silesian university in Opava, Czech
Republic
Ana Salomé García Muñiz, University of Oviedo, Spain
Karim Gasemi, Ecole Nationale de Commerce et de Gestion- Casablanca, Morocco
Mircea Georgescu, Al. I. Cuza University of Iasi, Romania
Mohamed Gharbi, Institut Supérieur des Etudes Technologiques de Bizerte, Tunisia
Iuliana Raluca Gheorghe, “Carol Davila” University of Medicine and Pharmacy, Romania
Ştefan Cristian Gherghina, Bucharest University of Economic Studies, Romania
Alina Ginghina, Bucharest Academy of Economic Studies, Romania
Veronica Grosu, Stefan cel Mare Suceava University, Romania
Anna Lisa Guido, University Salento, Italy
Mariem Gzara, University of Monastir, Tunisia
Tatana Hajdikova, Faculty of management, University of Economics, Czech Republic
Katja Harej Pulko, University of Maribor, Slovenia
Dang Merduwati Hashim, Universiti Teknologi MARA, Malaysia
Gy R. Hashim, Universiti Tekoologi Mara, Malaysia
Indrani Hazarika, Higher Colleges of Technology Dubai Women’s Campus, United Arab Emirates
Rym Hchich Hedhli, University of Tunis El Manar, Tunisia
Martina Hedvicakova, University of Hradec Kralove, Czech Republic
Roxana Herghiligiu, Alexandru Ioan Cuza University of Iasi, Romania
Luis Hector Quintero Hernández, University of Guadalajara, México
Pavlína Hejduková, University of West Bohemia, Faculty of Economics, Czech Republic
Besma Hkiri, Institute of Commerce and Business of Bizerte, University of Carthage, Tunisia
Hazar Y. Hmoud, University of Nottingham, UK
Adelaida Cristina Honțuș, University of Agronomic Sciences and Veterinary Medicine of Bucharest –
Romania, Faculty of Management, Economic Engineering in Agriculture and Rural Development,
Romania
M. Reza Hosseini, Deakin University, Australia
Bassima Hout, University AUB, Lebanon
Martin Hynek, University of West Bohemia in Pilsen, Czech Republic
Viorela Beatrice Iacovoiu, Oil and Gas University of Ploiesti, Romania
Eugenia Iancu, ”Ștefan cel Mare” University of Suceava, Romania
Ramona Ștefania Igreț, Bucharest University of Economic Studies, Romania
Anca Gabriela Ilie, Academy of Economic Study, Faculty of International Business and Economics,
Romania
Constantin Ilie, University OVIDIUS from Constanta, Romania
Margareta Ilie, University Ovidius from Constanta, Romania
Elena Mihaela Iliescu, “Nicolae Titulescu” University of Bucharest, Romania
Irum Inayat, University of Malaya, Malaysia
Gabriela Mariana Ionescu, Romanian Agency for Quality Assurance in Higher Education, Romania
Nicolae Ionescu, Politehnica University of Bucharest, Romania
Sabina Irimie, University of Petrosani, Romania
Larisa Ivascu, University Politehnica Timisoara, Romania
Frédéric Jallat, University ESCP Europe, France
Suttisak Jantavongso, Rangsit University, Thailand
Martin Januska, University of West Bohemia in Pilsen, Czech Republic
Maria José Angélico Gonçalves, University ISCAP/IPP, Portugal
Eva Jurickova, Tomas Bata University in Zlin, Czech Republic
Damir Kalpić, University Zagreb, Croatia
Tomáš Kamaryt, University of West Bohemia in Pilsen, Czech Republic
VI
Proceedings of 26th IBIMA2015 Conference, 11th-12th November 2015, Madrid, Spain
ISBN: 978-0-9860419-5-2
Innovation and Sustainable Economic Competitive Advantage: From Regional Development to Global Growth
Norhaya Kamarudin, Universiti Teknologi Malaysia, Malaysia
Kyeong Kang, University of Technology Sydney, Australia
Ibtissem Karboul, Faculté des sciences économiques et de gestion de Tunis, Tunisia
Katerina Kashi, VSB – Technical University of Ostrava, Faculty of Economics, Czech Republic
Mohd Khairudin Kasiran, Universiti Utara Malaysia, Malaysia
Islem Khefacha, FSEG MAHDIA, University of Monastir, Tunisia
Jasber Kaur, Universiti Teknologi MARA Malaysia, Malaysia
Nermin Khalifa, University AAST, Egypt
Hanen Khanchel Lakhoua, Université de Jendouba, Tunisia
Fabian Khateb, Brno University of Technology, Czech Republic
Rozalia Kicsi, „Ștefan cel Mare” University of Suceava, Romania
Ng Kim-Soon, Universiti Tun Hussein Onn Malaysia, Malaysia
Alžbeta Kiráľová, University College of Business in Prague, Czech Republic
Hana Klcova, Brno University of Technology, Czech Republic
Martin Klepek, Silesian University in Opava, Czech Republic
Gábor Klimkó, Budapest Corvinus University, Hungary
Woo Kok Hoong, University UTAR, Malaysia
Christophe Kolski, University of Valenciennes, France
Zdeňka Konečná, Brno University of Technology, Czech Republic
Petra Koudelková, Faculty of Social Sciences Charles University in Prague, Czech Republic
Saoussen Kouki, FSEGT, Tunisia
Lubos Kotek, Brno University of Technology, Czech Republic
Eva Kotlánová, University SU in Opava, School of Business Administration in Karvina, Czech Republic
Balazs Kotosz, University of Szeged, Hungary
Jan Kramoliš, Tomas Bata University in Zlin, Czech Republic
Zygmunt Kruczek, University School of Physical Education, Poland – Krakow
Vladimíra Kučerová, Brno University of Technology, Faculty of Business and Mangement, Czech
Republic
Tatiana Kudryavtseva, Peter the Great Saint- Petersburg Polytechnic University, Russia
Saibal Kumar Pal, University DRDO, India
Georgiana-Raluca Lădaru, The Bucharest University of Economic Studies, Romania
Arij Lahmar, Faculty of Economics and Management of Sfax, Tunisia
Deborah Lamont, Cardiff Metropolitan University, UK
Daniel Lang, Telecom Business School, France
Leila Lefi Hajlaoui, CBE Qassim University, KSA
Cristina Leovaridis, National University of Political Studies and Public Administration, Romania
Beatrice Leustean, University ”Politehnica” of Bucharest, Romania
Ioana – Ruxandra Lie, The Bucharest University of Economic Studies, Romania
Lew Sook Ling, Multimedia University, Malaysia
Hsu Kuan Liu, I-Shou University, Taiwan
Jan Luhan, Brno University of Technology, Czech Republic
Jiří Luňáček, Brno University of Technology, faculty of Business and Management, Czech Republic
Houari Maaradj, University of Ghardaia, Algeria
Cristina Măcărescu, Bucharest Academy of Economics, Romania
Pedro Maia Malta, Lusófona University, Portugal
Ingrid Majerová, Silesian University in Opava, Czech Republic
Lukáš Malec, University of Business in Prague, Czech Republic
Mohammad Malkawi, Jordan University of Science & Technology, Jordan
Liliana Manea, University Valahia, Romania
Elena Otilia P. Manta, Şcoala De Studii Avansate A Academiei Române, Romania
Nasina Mat Desa, Universiti Sains Malaysia, Malaysia
Jana Matošková, Tomas Bata University in Zlín, Czech Republic
Florian Marcel Nuţă, Danubius University from Galaţi, Romania
António Eduardo Martins, Universidade Aberta, Portugal
Miloš Maryška, University of Economics, Prague, Czech Republic
VII
Proceedings of 26th IBIMA2015 Conference, 11th-12th November 2015, Madrid, Spain
ISBN: 978-0-9860419-5-2
Innovation and Sustainable Economic Competitive Advantage: From Regional Development to Global Growth
Maslin Masrom, Universiti Teknologi Malaysia, Malaysia
Tendani Mawela, Univ. of Pretoria, South Africa
Valentin Măzăreanu, AL.I.Cuza University of Iasi, Romania
Traian Mazilu, University Politehnica of Bucharest, Romania
Noraina Mazuin Sapuan, Universiti Tenaga Nasional, Malaysia
Aminah Md Yusof, Universiti Teknologi Malaysia, Malaysia
Seifeddine Mechti, UniversityISG Tunis, Tunisia
Camelia Catalina Mihalciuc, Stefan cel Mare University Suceava, Romania
Leila Mohamed Jamel Menzli, PNU- University, KSA
Francesca Michelino, University of Salerno, Italy
Cristian Orzan Mihai, Economic Studies University of Bucharest, Romania
František Milichovský, Brno University of Technology, Faculty of Business and management, Czech
Republic
Marinela Mircea, The Bucharest University of Economic Studies, Romania
Ionela Mituko Vlad, University U.A.S.V.M. of Bucharest, Romania
Samali V. Mlay, Makerere University Business School, Uganda
Andrei-Horia Mogos, University Politehnica of Bucharest, Romania
Bianca Mogoş, University of Bucharest, Romania
Mohammad Atallah Moh’d AlOudat, University of Bridgeport, USA
Norshidah Mohamed, Prince Sultan University, KSA
Mohammad Mohammad, University of Western Sydney, Australia
Norizan Mohd Kassim, King Abdulaziz University, Jeddah, Saudi Arabia
Roziah Mohd Rasdi, Universiti Putra Malaysia, Malaysia
Norazah Mohd Suki, Universiti Malaysia Sabah, Malaysia
Anikó Molnárová, Brno University of Technology, Czech republic
Blanca Moreno Cuartas, University Oviedo, Spain
Ntebogang Dinah Moroke, North West University, South Africa
Lucia Morosan-Danila, University “Stefan cel Mare” Suceava, Romania
Miroslaw Moroz, Wroclaw University of Economics, Poland
Gianmmario Motta, Università di Pavia, Italy
Joriah Muhammad, Universiti Sains Malaysia, Malaysia
Carrington Mugove Mukwasi, University of Cape Town, South Africa
Mihaela-Carmen Muntean, “Dunarea de Jos” University of Galati, Romania
Andreea-Clara Munteanu, Romanian Academy Institute of National Economy, Romania
Leonid Mylnikov, Perm National Research Polytechnic, Russia
Manel Najar, Université de Tunis El Manar, Tunisia
Zina Nakhla, Universté de Tunis, Tunisia
Fatiha Naoui-Outini, La Rochelle Business School, France
Josef Navrátil, University of South Bohemia, Czech Republic
Ana-Maria Neagu, University Politehnica of Bucharest, Romania
Cornelia Neagu, University Center for Industry and Services Economics, Romanian Academy, Bucharest,
Romania
Mihaela Neculita, University Dunarea De Jos, Romania
Zuzana Němcová, Brno University of Technology, Faculty of Business and Management, Czech Republic
Andrei Stefan Nestian, University Alexandru Ioan Cuza, Romania
Bernard Neuwirth, Brno University of Technology, Czech Republic
Simona Nicolae, University Politehnica of Bucharest, Romania
Maria-Loredana Nicolescu (Popescu), Nicolae Titulescu University, Bucharest, Romania
Husam-Aldin Nizar Al-Malkawi, ALHOSN University- Abu Dhabi, UAE
Michal Novák, University of Economics, Faculty of Management, Prague, Czech Republic
Duncan Momanyi Nyang’ara, Chuka University, Kenya
Dumitru-Cristian Oanea, The Bucharest University of Economic Studies, Romania
Isaiah Oluranti Olurinola, Covenant University, Nigeria
Adegbuyi Omotayo, Covenant University, Ota, Nigeria
Amina Omrane, University of Sfax, Tunisia
VIII
Proceedings of 26th IBIMA2015 Conference, 11th-12th November 2015, Madrid, Spain
ISBN: 978-0-9860419-5-2
Innovation and Sustainable Economic Competitive Advantage: From Regional Development to Global Growth
Evans Osabuohien, Covenant University, Nigeria
Ismah Osman, Universiti Teknologi MARA, Malaysia
Wan Nadzri Osman, Universiti Utara Malaysia, Malaysia
Tereza Otčenášková, University of Hradec Králové, Czech Republic
Faezah Othman, Multimedia University, Malaysia
Mysoon A Otoum, Higher Colleges of Technology, UAE
Wided Oueslati, University of Tunis, Tunisia
Rachid Oumlil, ENCG-Agadir- Ibnou Zohr, Morocco
Siew Hock Ow, University of Malaya, Malaysia
Mirela Panait, Petroleum and Gas University of Ploiesti, Romania
Leontina Pavaloaia, ”Alexandru Ioan Cuza” University of Iasi, Romania
Vasile-Daniel Pavaloaia, AL.I.Cuza University Of Iasi, Romania
Ionela Carmen Pirnea, Constantin Brancoveanu University Rm.Valcea, Romania
Adina Simona Popa, “Eftimie Murgu” of Resita, Romania
Ion Popa, The Bucharest University of Economic Studies, Romania
Raluca Andreea Popa, Bucharest University of Economic Studies, Romania
Agatha Popescu, University of Agricultural Sciences and Veterinary Medicine Bucharest, Romania
Veronica Adriana A. V. Popescu, The Bucharest University of Economic Studies, Bucharest, Romania
(Faculty of Accounting and Management Information) and The Commercial Academy Satu-Mare, SatuMare, Romania
Catalin Popescu, Petroleum-Gas University of Ploiesti, Romania
Doina I. Popescu, Bucharest University of Economic Studies, Romania
Ionela-Valeria Popescu, The Bucharest University of Economic Studies, Romania
Luminita Gabriela Popescu, National University of Political and Administrative Studies, Romania
Daniela Popescul, Alexandru Ioan Cuza University, Romania
Gabriela Prelipcean, “Stefan cel Mare” University of Suceava, Romania
Marjene Rabah Gana, University IHEC Carthage, Tunisia
Olimpia C. Racela, Mahasarakham University, Thailand
Tomasz Rachwał, Pedagogical University of Cracow, Poland
Gita Radhakrishna, Multimedia University, Malaysia
Nicoleta Radneantu, Romanian-American University, Romania
Joanna Radomska, Wrocław University of Economics, Poland
Laura-Diana Radu, Alexandru Ioan Cuza University Iasi, Romania
Wided Ragmoun, Qassim University, Saudi Arabia
Abdul Razak Rahmat, Universiti Utara Malaysia, Malaysia
Nasrin Rahmati, University Dar Al-Hekma, KSA
Jakub Rak, Tomas Bata University in Zlín, Czech Republic
Vidhya Ramaswamy, International Centre for Intellectual Training & Empowerment (INCITE), India
T. Ramayah, Universiti Sains Malaysia, Malaysia
Martina Rasticova, Mendel University in Brno, Czech Republic
Petr Řeháček, VŠB-Technical University of Ostrava, Czech Republic
Hugo Rehesaar, Griffith University, Australia
Raquel Reis Soares, Universidade Europeia – Laureate International Universities, Portugal
Paolo Renna, University of Basilicata, Italy
Janet Renwick, University of Arkansas – Fort Smith, USA
Leo Tadeu Robles, Federal University of Maranhao – UFMA, Brazil
Ioan-Bogdan Robu, Alexandru Ioan Cuza University of Iasi, Romania
Luis Silva Rodrigues, ISCAP/Instituto Politécnico do Porto, Portugal
Angela Roman, ”Alexandru Ioan Cuza” University of Iasi, Romania
Simona Rus, University Politehnica, Romania
Adam Ryszko, Silesian University of Technology, Poland
Camille Salinesi, University Sorbonne, France
Mad Ithnin Salleh, Sultan Idris Education University, Malaysia
Cristina Santandreu Mascarell, Universitat Politècnica de València, Valencia-España
Daria Sarti, University Florence, Italy
IX
Proceedings of 26th IBIMA2015 Conference, 11th-12th November 2015, Madrid, Spain
ISBN: 978-0-9860419-5-2
Innovation and Sustainable Economic Competitive Advantage: From Regional Development to Global Growth
Michał Sąsiadek, University of Zielona Góra, Poland
Hana Scholleová, Czech Technical University in Prague, Czech Republic
David Schüller, Brno University of Technology, Faculty of Business, Czech Republic
Barbara Scozzi, University Politecnico di Bari, Italy
Liliana Scutaru, “Stefan cel Mare” University of Suceava, Romania
Tey Lian Seng, University of Malaya, Malaysia
Andreea Claudia Serban, The Bucharest University of Economic Studies, Romania
Sujeet Kumar Sharma, Sultan Qaboos University, Oman
Cândida Silva, Polytechnic Institute of Oporto (IPP – ESEIG), Portugal
Violeta Sima, Petroleum-Gas University of Ploieşti, Romania
Iveta Simberova, Brno University of Technology, Czech Republic
Liliana Nicoleta Simionescu, Bucharest University of Economic Studies, Romania
Teh Sin Yin, Universiti Sains Malaysia, Malaysia
Nicoleta Sîrghi, West University Timisoara, Romania
Aziza Saïda Slimane, University of Sousse, Tunisia
Marian Socoliuc, University: Stefan cel Mare Suceava, Suceava
Petr Sodomka, Brno University of Technology, Czech Republic
Costin Octavian Sorici, OVIDIUS University of Constanta, Romania
Ivan Soukal, University of Hradec Kralove, Czech Republic
Rym Srarfi Tabbane, University Manouba, Tunisia
Anongnart Srivihok, Kasetsart University, Thailand
Elena Roxana Stan, Romanian-American University, Romania
Mihaela Roberta Stanef-Puica, Academy of Economic Studies, Bucharest, Romania
Simona Cătălina Ștefan, The Bucharest University of Economic Studies, Romania
Jan Stejskal, University of Pardubice, Czech Republic
Bourliataux-Lajoinie Stephane, IAE de Tours, France
Roxana Stoian, Bucharest University of Economic Studies, Romania
Christophe Storai, University of Corsica, France
Mihaela Andreea Stroe, University Nicolae Titulescu, Romania
Marta-Christina Suciu, Bucharest University of Economic Studies (ASE Bucuresti), Romania
Ainin Sulaiman, University Malaya, Malaysia
Dalia Susniene, Kaunas University of Technology, Lithuania
Tereza Šustrová, University FBM BUT BRNO, Czech Republic
Ştefăniţă Şuşu, “Ştefan cel Mare” University of Suceava, Romania
Eva Svirakova, Tomas Bata University in Zlín, Czech Republic
Libuše Svobodová, University of Hradec Králové, Czech Republic
Faisal Syafar, Universitas Negeri Makassar, Indonesia
Jessica Sze Yin Ho, Sunway University Business School, Malaysia
Nouha Taifi, Ecole Mohammdia d’Ingénieurs – Université Mohammed V, Morocco
Choo-Kim Tan, Multimedia University, Malaysia
Olivia Tan Swee Leng, Multimedia University, Cyberjaya, Malaysia
Pavel Taraba, Tomas Bata University in Zlin, Czech Republic
Rosmaini Tasmin, UTHM, Malaysia
Petra Taušl Procházková, University of West Bohemia, Czech Republic
Derek Ong Lai Teik, Sunway University, Malaysia
Seethaletchumy Thambiah, Multimedia University, Malaysia
Brychan Thomas, University of South Wales, UK
Mohamed Hussain Thowfeek, South Eastern University of Sri Lanka, Sri Lanka
Ioana Laura Tibulca, Bucharest University of Economic Studies, Romania
Cristiana Tindeche, University of Agricultural Sciences and Veterinary Medicine Bucharest, Romania
Ding Hooi Ting, Universiti Teknologi Petronas, Malaysia
Kateryna Tiulkina, Odessa State Environmental University, Ukraine
Teresa Torres-Coronas, Universitat Rovira i Virgili, Spain
Amira Trabelsi Zoghlami, University of Carthage, Tunisia
Alexandru Trifu, University “Petre Andrei” of Iasi, Romania
X
Proceedings of 26th IBIMA2015 Conference, 11th-12th November 2015, Madrid, Spain
ISBN: 978-0-9860419-5-2
An Empirical Analysis of Causal Relationship between Stock Prices
and Real Sector of the Pakistani Economy
Rizwan Raheem Ahmed, Indus University, Karachi, Pakistan,
[email protected]
Jolita Vveinhardt, Vytautas Magnus University, Kaunas, Lithuania,
[email protected]
Yaseen Ahmed Meenai, Institute of Business Administration (IBA), Karachi, Pakistan,
[email protected]
Abstract
This paper determines the causal relationship between stock prices and the macroeconomic variables
representing the real sector of the Pakistani economy. In order to substantiate the purpose annual data
has been acquired from the websites of State Bank of Pakistan and Federal Bureau of Statistics, from
the period of 1979 to 2013. Further to get the results Unit Root, Cointegration, Error correction
model has been applied. Which indicate the presence of long term relation between stock prices and
macroeconomic variables including gross domestic product (GDP), Consumption and Investment.
Moreover, the result shows the existence of one-way causation between macroeconomic variables
such as GDP, real consumption expenditure, and real investment expenditure. This one-way
causation lead to the conclusion that the stock market of Pakistan is not developed to that extinct
where it could influence GDP, real consumption expenditure, and real investment expenditure.
Therefore, it is finally concluded that the stock market of Pakistan is not a leading indicator of any
activity of economy.
Keywords: Macroeconomic variables, Stock Prices, Causal Relationship, Pakistani Economy.
Subject classification codes: E44, G1
Introduction
Background of the research
The stock market plays an important role in the important in the case of developing countries in view
of economy by mobilizing domestic resources and the various economic reforms taking place there
(Ahmed et al. 2012). Also, the stock market plays an important role in the economy by mobilizing
domestic resources and channeling them to productive investment. This implies that it must have a
significant relationship with the economy. The relationship can be seen in two ways - The first
relationship views the stock market as the leading indicator of the economic activity in the country
whereas the second focuses on the possible impact the stock market may have on aggregate demand
particularly through aggregate consumption and investment (Ahmed et al. 2013). According to
Ahmed (1999), the knowledge of the prevailing relationship between stock prices on the one hand and
macroeconomic variables like consumption, investment, industrial production, GDP and the like on the
other, is predominantly important in view of the fact that a stable relationship among these variables is
likely to form an important postulate in a variety of economic models. Sohail and Hussain (2009)
maintain that the well-organized stock market mobilizes the savings and activates the investment
projects, which lead to economic activities in a country. The key function of stock market is to act as
mediator between savers and borrowers. It mobilizes savings from a large pool of small savers and
channelizes these funds into fruitful investments.
Pakistan stock market is one of the highest volatile stock market and has been in such a position from
past 7 years. The financial crises started in Pakistan stock market from 2005 when it was first crashed,
following a second crash in 2006. Then the third, a crash with more serious intensity was observed in
2008, which continued until 2009. This crash in stock market occurred with such a high density that it
cause the Karachi stock index of Pakistan to drop by 10,000 were as a drop of 3000 points was observed
Proceedings of 26th IBIMA2015 Conference, 11th-12th November 2015, Madrid, Spain
ISBN: 978-0-9860419-5-2
in Lahore stock exchange (Sohail, Hussain 2009). Despite of these downfalls in the stock market, there
are also times when it has flourished. For instance Karachi stock exchange was declared by business
week as one of the stocks, which is performing best in the world. Further, in 2012 due to relaxation
provided to foreign investors along with privatization initiative has caused increase in the Karachi stock
exchange development (Ahmed et al. 2013).
Observing the fact the stock prices fall before the economy of a country tumble or goes into downfall,
similarly the stock price increases before the boom in the economy. This back and forth movement of
stock price in harmony with economy indicates the presence of a significant relation between stock
prices and economy (Grossman, Stiglitz 1980; Levine, Sara 1996). This relationship between stock
prices and economy can be examined in two ways. First, we could say that this relationship causes
stock market to be viewed as an indicator of economy. Secondly, this relationship create the
possibility to explore a new dimension in research relating to the impact of stock market prices on
aggregate demand indirectly by first effecting aggregate consumption and investment (Levine 1991;
Gunasinghe 2005). In other words, fluctuations in Gross Domestic Product (GDP), Consumption and
Investment Spending representing macroeconomic variable of the economy is due to changes in
stock market. The issue that whether changes in stock market prices increases or decreases activity of
economy which further effects the policy-making institution in developing economic reforms.
Therefore, researchers in both developed and developing countries have diverted their focus towards
exploring this dimension of the relation (Levine, Sara 1998; Chakraborty 2006; Ahmed et al. 2014).
Role of the stock market in economic development
The significance regarding studying stock market comes from the role it play in the economic
development of a country. There are various researchers, which second the role, which stock market
plays in the economic development of a country. For instance, according to some researchers
liquidity creates economic development by affecting the stock market (Khan et al. 2005). Many
individual investors and companies prefer to invest in liquid market as it help them to take less risk
by not holding their investment in one security for a longer period of time and sell their securities
quickly in need of time, Thus enabling them to raise capital on their own set terms. Thus, by enabling
their holder to enjoy profits quickly, liquid market improve capital allocation and boost the prospect
of long-term economic growth (Bosworth 1975; Schaub 2013).
Secondly supporting argument of the impact of stock prices on economic development of a country
comes from “wealth effect”. Wealth effect model explain the expectation that individual have
towards the economic activities of the country. Further wealth effect by strengthening the fact that
stock prices cause real economy variation; effect the economic development of the country
(Holmstro, Tirole 1993; Yartey 2007).
Macro economic variables
The macroeconomic variables included in the study, identified from the literature to have an unclear
effect on stock prices include Gross domestic product, consumption expenditure, investment
spending. Making the casual relation between stock prices and identified macroeconomic variable not
conclusive. Making these variables relation an interesting phenomena to be further studied.
Gross domestic product
GDP growth rate is a macroeconomic variable that measure the economic performance of a country.
As GDP has an impact of many economic variables such as CPI, unemployment rate therefore
researchers, econometricians, policy makers associate many economic variables with GDP. Similarly,
GDP is more often associated with stock prices with an assumption that an increase in GDP growth
will result in higher stock prices. As it is generally observe that if a country has high GDP growth
then this high GDP allow companies to earn more profits thus increasing their stock prices (Lucas
1988; Iqbal 2012). For instance Mishra (2004) and Mookerjee (1988) found that increase in GDP has
Proceedings of 26th IBIMA2015 Conference, 11th-12th November 2015, Madrid, Spain
ISBN: 978-0-9860419-5-2
a positive impact on stock prices. Whereas on the contrary it is also observed that high GDP growth
rate has result in lower stock prices or have found a weak correlation between the two variables
(Anderson et al. 2012). Thus examine the cause and effect relation of GDP and Stock price, is an
interesting phenomena that is worth studying (Nishat, Saghir 1991; Mankiw et al. 1992).
Real consumption expenditure
Keynes was the pioneer in identification of the cause and effect relation between stock prices and
consumption expenditure. According to Keynes an increase in the value of asset held by individual,
increase their capability of consumption, thus an expansion in the stock market prices cause a further
expansion in the consumption expenditure of individuals (Fama 1970; Ford et al. 2012). Further support
for the relation comes from the life cycle theory. The life cycle theory states that the consumption
expenditure of individuals depends on the expected value of the lifetime accumulated wealth. This wealth
accumulated is kept in many forms, one of the forms is stock, thus when the prices of stock increase more
money are available to individuals to consume (Fama 1998; Zhang & Wihlborg 2010).
Real investment spending
Investment spending is the saving of people, a part of the income earned which is invested in the
economy. Mobarek et al. (2008) examine relation between real investment spending and stock prices.
According to the Tobins q theory organization when a company or stock aggregate value (refered as
market capitalization) is greater then the amount of replacing an asset of a firm at current price (refered as
replacement cost), in this case the organization market value is higher then the capital of new fixed assets
aquired. In such cases firms issue new stocks at a higher prices, which enable them to receive more
amount then what they have paid on fixed assets. This increase in the market value of the firm, indicating
that if a firm issue more stocks, enabling them to get hold of more money, further increase the invesment
spending of the firm. Concuding that higher the stock prices, higher will be q, more will be the invesment
expenditure and viceversa (Maghyereh 2006).
Problem of research
Movements of stock prices represent an important area for the researchers to be studied as it can be
considered as a pulse of any country economy. It indicates the current and future opportunities of a
country. The movement in the stocks prices of a country is mainly due to the economic environment of
variables. This economic environment is composed of micro and macro-economic variables. As it is
generally assumed that micro economic variable does not represent a larger effect on stock prices
whereas on the other hand variables of macro economy representing real sector of economy, due to
globalization and integration can be presumed to have definite cause and effect relation. There are many
previous studies measuring the causal relation between macroeconomic variable (Serra 2003;
Gunasekarage et al. 2004; Guidi et al. 2011).
Level of problem exploration
A fairly large number of research papers on issues of stock market show the timeliness and
importance of this topic (Fama 1965; Baumol 1965; Fama 1970; Bosworth 1975; Grossman, Stiglitz
1980; Errunza, Losq 1987; Mookerjee 1988; Fama 1998; Ahmed 1999; Sohail, Hussain 2009; Ali et
al. 2010; Al-Obaid 2011; Ahmed et al. 2012; Ahmed et al. 2013; etc.). Fama (1998), analysing
market efficiency, argues that the recent finance literature seems to produce many long-term return
anomalies. Subjected to scrutiny, however, the evidence does not suggest that market efficiency
should be abandoned. Consistent with the market efficiency hypothesis that the anomalies are chance
results, apparent overreaction of stock prices to information is about as common as underreaction.
And post-event continuation of pre-event abnormal returns is about as frequent as post-event reversal.
According to Fama (1998), most important, the long-term return anomalies are fragile. They tend to
disappear with reasonable changes in the way they are measured.
Proceedings of 26th IBIMA2015 Conference, 11th-12th November 2015, Madrid, Spain
ISBN: 978-0-9860419-5-2
Objective of the research
The causal relation between stock prices and real sector of Pakistan economy
The aim of the research
The aim is determine the causal relation between stock prices and real sector of Pakistan economy.
In order to substantiate the purpose the task are as follow:
1.
2.
3.
To identify the macroeconomic variables representing the real sector of economy.
To determine the causal relation between macroeconomic variables representing real sector and
stock prices.
To determine direction of causation between real sector of economy and stock prices.
Data and Methodology
In order to justify the purpose of the study, data has been collected from the official website of the
State Bank of Pakistan and Federal Bureau of Statistics. On these official websites annual reports,
economic survey was reviewed from the period of 1979 to 2013. The data collected is divided into
two parts one representing the pre liberalization period while other representing post liberalization
period. To incorporate this a dummy variable has been used. This dummy variable examines the
impact of changing economic reforms on the examined relation.
The dimensions of real sector of the economy identified from the literature (Fama 1965; Ahmed
1999; Husain, Mahmood 2001), included in the study are Gross domestic product, Investment
expenditure, Consumption expenditure.
Results and discussion
The descriptive statistics show (Table 1) that average return on the stock from the period 1979 to 2013 is
around 9.23%, similarly the average GDP with in the similar period is 5.24%, were as consumption is
4.75% and real investment spending is 5.21%. Standard deviation given in the above table show that on
average stock prices deviate from its mean by 23.98%, GDP deviate by 2.11, consumption by 4.19% and
lastly investment by 6.28%. Apart from mean and standard deviation, form looking at above table, one
could examine the increase or decrease in the value of real economy variable for instance GDP fall from
5.98% to 4.15%, similarly consumption decrease by 1.07% and finally investment decrease by 4.14%.
Table 1: Descriptive Statistics for Growth in Stock Prices and Macro Variables
Stock
Real
Real
Real
Prices
GDP
Consumption
Investment
Full Sample: 1979/80 - 2012/13
Mean
0.0923
0.0524
0.0475
0.0521
Std. Dev.
0.2398
0.0211
0.0419
0.0628
Observations
33
33
33
33
Mean
Std. Dev.
Observations
Pre-liberalization: 1979/80 - 1990/91
0.0851
0.0589
0.0498
0.1538
0.0270
0.0328
11
11
11
0.0612
0.0729
11
Post-liberalization: 1991/92 - 2012/13
Proceedings of 26th IBIMA2015 Conference, 11th-12th November 2015, Madrid, Spain
ISBN: 978-0-9860419-5-2
Mean
Std. Dev.
Observations
0.1027
0.3594
22
0.0415
0.0821
22
0.0391
0.0483
22
Equality of Means and Variances
Mean (t0.39
2.88**
0.75
value)
Variance (F
6.16***
1.38
1.04
value)
Source Authors’ estimation
0.0198
0.0468
22
1.86
2.52
The Table 2 shows that correlation between the stock prices and real variable of the economy
representing Consumption and GDP is low, however GDP has a high correlation with stock prices.
Table 2: Correlation Coefficients b/w Stock Prices and Macro variables
Variables
1979-80
1979-80
1991/92
2012/13
1990/91
2012/13
Changes in Real Consumption
-0.028
-0.201
0.081
Changes in Real Investment
0.048
-0.023
0.157
Changes in Real GDP
0.211
-0.069
0.613**
Source Authors’ estimation
In order to test stationarity, unit root test is applied, Table 3 shows that when stationarity test was
applied on with trend and without trend at level, the value is not more negative than the critical
value thus we fail to reject Ho. This indicates the presence of unit root in all the four variable
namely stock prices, real GDP, real consumption and real investment both with and without trend.
Thus unit root test was again tested at first difference, as the above table indicate the values are
more negative then critical value thus Ho is rejected indicated absence of unit root, which further
project that all the variables are integrated of order I(I).
Variables
Stock Prices
Real GDP
Real Consumption
Real Investment
Source Authors’ estimation
Tables 3: Unit Root Tests (ADF) for variables
Levels
First Differences
W/O
W. Trend
W/O Trend
W. Trend
Trend
0.411
-2.122
-4.019***
-3.919**
-2.291
-0.911
-4.171***
-6.901***
-0.801
-0.577
-6.019***
-6.759***
-0.870
-1.711
-4.373***
-4.374***
As all the variables are integrated of order I(I) thus cointegration test is applied in the next step
(Table 4). As the value of t-statistics is more negative than the critical values, thus Ho is rejected
indicating a significant long run relation between stock prices and real economy variable namely
GDP, Consumption and Investment.
Table 4: Co-integrating Regressions
Regressions
Constant
Coefficients
ADF
GDP on SP
8.989***
0.599***
-2.231**
Cons on SP
9.998***
0.494***
-2.112**
Inv on SP
8.980***
0.551***
-2.321**
Source Authors’ estimation
Proceedings of 26th IBIMA2015 Conference, 11th-12th November 2015, Madrid, Spain
ISBN: 978-0-9860419-5-2
According to Fama (1998) after cointegration test, Error correction model is applied to determine
the causality between stock prices and real economy variables (Table 5). As the error term
significant, it shows long run relationship between GDP, consumption, investment and Stock
returns.
e(-1)
DSP(-1)
DGDP(-1)
F-value
e(-1)
DSP(-1)
DCS(-1)
F-value
e(-1)
DSP(-1)
DIN(-1)
F-value
Source Authors’ estimation
Table 5: Error Correction Models
Real GDP
DSP
-0.195**
-0.170
-0.525
1.521
Real Consumption
DSP
-0.278**
-0.078
0.389
1.285
Real Investment
DSP
-0.278**
-0.089
0.069
1.885
DGDP
-0.027
0.008
0.188
0.498
DCS
0.027
0.054
-0.083
0.583
DIN
0.033
0.048
0.187
0.896
Shift in stock prices and real variable
To further incorporate the effect of shit in the variable dummy variable has been used, Table 6 shows that
dummy variable is insignificant thus indicating that the stock prices and macroeconomic variable of
economy including GDP, Consumption and Spending causal relation is not effected by liberalization,
indication that the effect is same for all pre and post liberalization.
Table 6: Co-integrating Regressions including Shift in Variables
Regressions
Constant
Dummy
Coefficients
ADF
GDP on SP
8.929***
-0.134
0.710***
-2.153**
Cons on SP
9.623***
-0.148
0.684***
-2.327**
Inv on SP
9.121***
-0.168
0.598***
-3.234**
Source Authors’ estimation
As again the error term significant, results are depicted in Table 7, it further predicts a long run
relationship between GDP, consumption, investment and Stock returns.
D
e(-1)
DSP(-1)
DGDP(-1)
F-value
Table 7: Error Correction Models
Real GDP
DSP
-0.005
-0.335***
-0.168
-1.376
2.732
Proceedings of 26th IBIMA2015 Conference, 11th-12th November 2015, Madrid, Spain
DGDP
-0.035
-0.038
0.023
-0.243
2.831
ISBN: 978-0-9860419-5-2
D
e(-1)
DSP(-1)
DCS(-1)
F-value
D
e(-1)
DSP(-1)
DIN(-1)
F-value
Source Authors’ estimation
Real Consumption
DSP
0.041
-0.318***
-0.239
0.419
2.329
Real Investment
DSP
0.089
-0.801***
-0.581
0.023
2.796
DCS
-0.022
0.024
0.049
-0.081
0.724
DIN
-0.038
0.034
0.098
0.241
1.921
Conclusions
The result of the study indicates the presence of a long-term relation between the stock prices and macroeconomic variables taken into account namely GDP, consumption and investment. Apart from presence
of long term relation the result help determine the direction of causality which with the help of result is
identified as uni-directional, which indicate that movement in the stock prices is due to movement in
accounted variable of real sector of the economy. Further the incorporation of dummy variable did not
prove to be useful as the result were same even after incorporation of variation caused by liberalization.
All these results lead to the conclusion that the stock market of Pakistan is not developed to that extinct
where it could influence GDP, real consumption expenditure, and real investment expenditure. Therefore,
the stock market of Pakistan is not a leading indicator of any activity of economy. Thus it could be
recommended that policy institution if want changes in stock prices one way to achieve this objective is
through influencing real economy variable which include GDP, consumption and Investment.
Acknowledge
In this article we built on Economist Intelligence Unit - Pakistan Country Reports and Pakistan
Government Reports, which have not been included in the list of references separately.
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Proceedings of 26th IBIMA2015 Conference, 11th-12th November 2015, Madrid, Spain
ISBN: 978-0-9860419-5-2