Information communications technology (ICT) infrastructure impact on stock market-growth nexus: The panel VAR model

This paper examines the mutual relationship between information communication technology (ICT) infrastructure, stock market depth, and economic growth in the selected Asian countries for the period between 1961 and 2012. The ICT infrastructure (such as telephone main lines, mobile phones, internet users, internet servers and fixed broadband) are assessed and by a composite index with the help of principal component analysis (PCA). Our results revealed that there is a long-run equilibrium relationship between the three variables. We then used a panel vector auto-regression (VAR) model to reveal the nature of Granger causality among the three variables. As expected, the results depict the feedback relationships between ICT infrastructure, economic growth and stock market development.