The Role Of Capital Markets Development In Economic Growth and Risk Management: The Case of Selected African Development Bank Member Countries

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research question and

objectives framed to Masters

Level standard with academic

rationale developed, clear

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Capital markets development, economic growth and risk management

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literature search, engagement

with seminal authors and

papers, evidence of a critical

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Evidence of rigor in data

analysis and interpretation

procedures, identification of

key patterns and themes in the

research data, integration of

academic

theory

into

explanation of findings

Research

question

and

objectives

addressed

with

implications to theoretical and

managerial

concepts

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Full title, including any subtitle

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Capital markets development, economic growth and risk management

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-Capital markets development, economic growth and risk management

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-Capital markets development, economic growth and risk management

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South Africa

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Egypt:

Kenya

Mauritius

Morocco

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Algeria – Egypt – Libya – Mauritania - Morocco –Tunisia – Benin -

Burkina Faso - Cape Verde - Cote d’Ivoire - Gambia – Ghana – Guinea -

Guinea-Bissau – Liberia – Mali – Niger - Nigeria – Senegal - Sierra

Leone – Togo – Burundi – Comoros – Djibouti – Eritrea – Ethiopia –

Kenya – Rwanda – Seychelles – Somalia – Sudan – south Sudan –

Tanzania – Uganda – Cameroon – Central – Central African Republic –

Chad – Democratic Republic of Congo – Congo – Equatorial Guinea –

Gabon – Madagascar – Angola – Botswana – Lesotho – Malawi –

Mauritius – Mozambique – Namibia – Sao Tome & Principe – South

Africa – Swaziland – Zambia – Zimbabwe.

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Model 1: Time series and panel data analysis

α

β

μ

α

β

μ

α

β

μ

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α

β

μ

α

β

μ

α

β

μ

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Model 2: GARCH model and Value at Risk

μ

σ

α

μ

σ

α

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μ

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α

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σ

α

ε

σ

α

α ε

β σ

α

β

α

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-Brazil

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Egypt

Japan

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Mauritius

Morocco

Nigeria

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58 u1344567 -.10 -.08 -.06 -.04 -.02 .00 .02 .04 .06

2010 2011 2012 2013 2014

IBOV .0000 .0002 .0004 .0006 .0008 .0010

2010 2011 2012 2013 2014 Conditional variance -.12 -.08 -.04 .00 .04 .08 1/ 05 /10 4/ 11 /10 7/ 12 /10 10/ 13/ 10 1/ 18 /11 6/ 15 /11 9/ 19 /11 12/ 26/ 11 3/ 29 /12 7/ 05 /12 10/ 09/ 12 1/ 14 /13 4/ 15 /13 7/ 21 /13 10/ 30/ 13 2/ 03 /14 5/ 08 /14 8/ 17 /14 11/ 18/ 14 EGX30 .0000 .0004 .0008 .0012 .0016 .0020 .0024 .0028 .0032 1/0 5/10 4/1 1/10 7/1 2/10 10/ 13/ 10 1/1 8/11 6/1 5/11 9/1 9/11 12/ 26/ 11 3/2 9/12 7/0 5/12 10/ 09/ 12 1/1 4/13 4/1 5/13 7/2 1/13 10/ 30/ 13 2/0 3/14 5/0 8/14 8/1 7/14 11/ 18/ 14 Conditional variance -.08 -.06 -.04 -.02 .00 .02 .04 .06

2010 2011 2012 2013 2014

BRVM .0000 .0001 .0002 .0003 .0004 .0005 .0006 .0007

2010 2011 2012 2013 2014

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-.12 -.08 -.04 .00 .04 .08

2010 2011 2012 2013 2014

NIKKEI .0000 .0004 .0008 .0012 .0016 .0020 .0024

2010 2011 2012 2013 2014 Conditional variance -.04 -.03 -.02 -.01 .00 .01 .02 .03 .04

2010 2011 2012 2013 2014

NSEASI .0000 .0001 .0002 .0003 .0004 .0005 .0006 .0007 .0008

2010 2011 2012 2013 2014 Conditional variance -.04 -.03 -.02 -.01 .00 .01 .02 .03 .04

2010 2011 2012 2013 2014

MCSINDEX .00000 .00004 .00008 .00012 .00016 .00020 .00024 .00028

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-.03 -.02 -.01 .00 .01 .02 .03 .04

2010 2011 2012 2013 2014

SEMDEX .0000 .0001 .0002 .0003 .0004 .0005

2010 2011 2012 2013 2014

Conditional variance -.12 -.08 -.04 .00 .04 .08 .12

2010 2011 2012 2013 2014

NGSEINDX .000 .001 .002 .003 .004 .005 .006

2010 2011 2012 2013 2014 Conditional variance -.04 -.03 -.02 -.01 .00 .01 .02 .03 .04 .05

2010 2011 2012 2013 2014

JALSH .00000 .00005 .00010 .00015 .00020 .00025 .00030 .00035 .00040

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-.06 -.04 -.02 .00 .02 .04 .06

2010 2011 2012 2013 2014 UKX .0000 .0001 .0002 .0003 .0004 .0005 .0006

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β

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1-

Brazil

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3-

Cote D’Ivoire ( Ivory Coast)

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Kenya

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Morocco

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Nigeria

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10-

United Kingdom

Panel 1: Regression 8

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Journal of Political Economy

African

Development Review

IMF Working Papers

African Research Review

Journal of Political Economy

European Economic Review

World Bank policy research

working paper No.6684

Journal of Financial Economics

The Journal of Finance

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Journal of Econometrics

GRETA,

working paper n.03.06

The World Bank Economic

Review

The World Bank Economic

Review

International Economic Review

Journal of Business

Finance & Accounting

Econometrica

ARCH

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Journal of Financial and

Quantitative Analysis

The Journal

of Finance

http://dx.doi.org/10.2139/ssrn.1720586

Journal of Applied

Econometrics

Value at risk

World Development

Research in Finance (Research in Finance, Volume 24)

Finance and growth

A sensitivity analysis of cross-country

growth regressions

The World Bank Economic Review

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Pioneers in development

The International Economy

Opening Ceremony of the 1st South Africa-China Capital Market

Forum conference

Review of development Finance

The impacts of Quantitative Easing on Africa and its

financial markets.

African Development Review

Economic development and cultural change

South African journal of economics

(78)

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Breach of trust in hostile takeovers

The

Economic Journal

Journal of

Money, Credit and Banking

International Journal of

Economics and Finance