Journal of International Trade, Logistics and Law (Jun 2024)
The Regional Economic Determinants Effects on Stock Market Volatility: Case of la Bourse Régionale des Valeurs Mobilières (Brvm) Stock Exchange
Abstract
This paper analyzes the effects of regional economic determinants on stock market volatility especially for the BRVM Stock Exchange by using Generalized Autoregressive Conditional Heteroscedasticity (GARCH) models with the data from March 2005 to September 2023. The effects of economic determinants as the USD exchange rate, CNY exchange rate, inflation rate, and average interest rate on credits on stock market volatility is tested with GARCH (1,1) models. The results show complex relationships, including an inverse relationship between stock market volatility, the USD rate, the CNY rate and AIR rate. However, inflation rate has a significant impact on stock market volatility. In the dynamic landscape of the BRVM Stock Exchange, the study offers useful insights for risk management, policy considerations, and investment decisions enabling market participants to make appropriate decisions. Moreover, the study's outcomes bear relevance to policymakers, offering guidance for shaping economic policies that may influence stock market dynamics. Additionally, investors may benefit from the research by getting a broad view of the determinants that may affect stock prices, thereby enhancing their ability to formulate sound investment strategies.
