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Gmm Estimation And Shapiro-Francia Normality Test: A Case Study Of Developing Countries

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  • DAVTYAN Azat

    (West University of Timisoara, Romania)

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    The study of relationships between economic and financial system indicators in developing countries became contemporary issue taking into account the influence of the last crisis. This paper aims to analyze the correlation of number of explanatory variables with portfolio investments in 38 emerging markets in the period from 2005 to 2009. As a empirical methodology of this research serves Arellano-Bond and Arellano/Bover-Blundell/Bond estimations and Shapiro-Francia normality test. We identify that the capital market indicators, in particular, the stock market capitalization, stock market total value traded to GDP are considered the main positive and statistically significant variables. Since the outbreak of the crisis, investors start to pay their attention to almost every indicator affecting the flows of portfolio investments. Almost all banking and economic indicators (except some business environment indicators, bank non-performing loans to gross loans (%), lending interest rate (%), banks Z-score and official exchange rate) are highly associated with portfolio investments.

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    File URL: http://eccsf.ulbsibiu.ro/RePEc/blg/journl/914davtyan.pdf
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    Article provided by Lucian Blaga University of Sibiu, Faculty of Economic Sciences in its journal Studies in Business and Economics.

    Volume (Year): 9 (2014)
    Issue (Month): 1 (April)
    Pages: 43-58

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    Handle: RePEc:blg:journl:v:9:y:2014:i:1:p:43-58
    Contact details of provider: Postal:
    Lucian Blaga University of Sibiu, Faculty of Economic Sciences Dumbravii Avenue, No 17, postal code 550324, Sibiu, Romania

    Phone: 004 0269 210375
    Fax: 004 0269 210375
    Web page: http://economice.ulbsibiu.ro/
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    1. Bontemps, Christian & Meddahi, Nour, 2005. "Testing normality: a GMM approach," Journal of Econometrics, Elsevier, vol. 124(1), pages 149-186, January.
    2. Arellano, Manuel & Bover, Olympia, 1995. "Another look at the instrumental variable estimation of error-components models," Journal of Econometrics, Elsevier, vol. 68(1), pages 29-51, July.
    3. Robert G. King & Ross Levine, 1993. "Finance and Growth: Schumpeter Might Be Right," The Quarterly Journal of Economics, Oxford University Press, vol. 108(3), pages 717-737.
    4. Blundell, Richard & Bond, Stephen, 1998. "Initial conditions and moment restrictions in dynamic panel data models," Journal of Econometrics, Elsevier, vol. 87(1), pages 115-143, August.
    5. Nickell, Stephen J, 1981. "Biases in Dynamic Models with Fixed Effects," Econometrica, Econometric Society, vol. 49(6), pages 1417-1426, November.
    6. Arellano, Manuel, 1989. "A note on the Anderson-Hsiao estimator for panel data," Economics Letters, Elsevier, vol. 31(4), pages 337-341, December.
    7. Landon, Stuart & Smith, Constance E., 2009. "Investment and the exchange rate: Short run and long run aggregate and sector-level estimates," Journal of International Money and Finance, Elsevier, vol. 28(5), pages 813-835, September.
    8. Manuel Arellano & Stephen Bond, 1991. "Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations," Review of Economic Studies, Oxford University Press, vol. 58(2), pages 277-297.
    9. Eun, Cheol S & Resnick, Bruce G, 1988. " Exchange Rate Uncertainty, Forward Contracts, and International Portfolio Selection," Journal of Finance, American Finance Association, vol. 43(1), pages 197-215, March.
    10. Muller, Aline & Verschoor, Willem F.C., 2009. "The effect of exchange rate variability on US shareholder wealth," Journal of Banking & Finance, Elsevier, vol. 33(11), pages 1963-1972, November.
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