An investigation of the long-run relationship between Capital Market Indices and macroeconomics variables in Zimbabwe

Naison Muvanhu Mandigo

Master's thesis

,,Identifkace dlouhodobého vztahu index kapitálového trhu a vybraných makroekonomických ukazatelů Zimbabwe. Brno, 2017, diplomová práce, Mendelova universita v Brně.

Abstract:

patn ekonomick situace Zimbabwe, asto zasaen krizemi, tm bez plivu pmchzahraninch investic (PZI), vysok mra nezamstnanosti, nefunkn role centrlnbanky a mstn mny ovlivnila zjem diplomanta studovat dlouhodob vztah indexkapitlovho trhu a makroekonomickch ukazatel. Pehled literatury analyzujevzkumn prce, zabvajc se zkoumanou problematikou. Vtina studi potvrzujekrtkodob / dlouhodob vztahy mezi indexy kapitlovch trh a makroekonomickmipromnnmi.Byla pouita metoda ARDL. Zskan vsledky jsou v nkterch aspektech rozdlnod stvajcch empirickch studi na podobn tma. Napklad vtina studi potvrdilavznamn vztah mezi smnnm kurzem, rokovou sazbou a akciovm indexem, aletato prce ukzala opak. Tato prce vypluje mezeru v literatue o vztahu mezidlnm indexem a vybranmi makroekonomickmi ukazateli. Dle bylo potvrzeno,e index spotebitelskch cen a smnn kurzy maj negativn dlouhodob vztah sdlnm indexem. Cesta pro dal vzkum tto povahy v zemch se stejnmi nebopodobnmi ekonomickmi podmnkami jako v Zimbabwe je dal cestou pokraovnempirickho vzkumu provedenho v tto prci.Klov

Abstract:

The hash economic conditions in Zimbabwe, marred with perpetual cash cri-sis, little to no foreign direct investments (FDI's), high unemployment rates,absence of the Central Bank roles and local currency has piqued my intereststo study the long-run relationship of capital market indices and macroeco-nomic variables, in such conditions. The literature review analysed di?erentresearch work that were done in health economics about the same subjectbut with di?erent variable matrix structure and methods. Most of the stud-ies con?rmed the short/ long-run relationship between capital market indicesand macroeconomic variables.An ARDL method was employed on the subject matter, and interesting re-sults were obtained that are at variance with most of the existing empiricalresults in the literature. For example, most of the studies con?rmed a signi?-cant relationship between the exchange rate, interest rate and stock index butthis research showed otherwise. Moreover, this work ?lled the existing gap inthe literature on the relationship between the mining index and macroeco-nomics variables. Furthermore, it has been noted that consumer price indexand exchange rates have a negative long-run relationship with the miningindex. A way for further research of this nature in countries with the sameor similar economic conditions as of Zimbabwe has been set in motion andneeded for an abstract conclusions on the variations noted by this work.

Keywords

ARDL metoda, akciov index, index spotebitelskch cen

Keywords

ARDL, Stock Index, Consumer Price Index

Language used: English

Date on which the thesis was submitted / produced: 1. 6. 2017

Thesis defence

• Supervisor: prof. Ing. Lubor Lacina, Ph.D.
• Reader: Petr Rozmahel, doc. Ing.

Mendel University in Brno

Faculty of Business and Economics

Master programme / field:
Economics and Management / Business Economics and Management