Stock Returns and Output Growth in Emerging and Advanced Economies

Author/Editor:

Paolo Mauro

Publication Date:

May 1, 2000

Electronic Access:

Free Download. Use the free Adobe Acrobat Reader to view this PDF file

Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate

Summary:

This paper studies the correlation between output growth and lagged stock returns in a panel of emerging market economies and advanced economies. It finds that the correlation is as strong in emerging market economies as in advanced economies. Asset prices therefore contain valuable information to forecast output also in emerging market economies. Moreover, the paper finds that the strength of the correlation between output growth and lagged stock returns is significantly related to a number of stock market characteristics, such as the number of listed domestic companies and initial public offerings and, especially, a high market capitalization to GDP ratio and English legal origin.

Series:

Working Paper No. 00/89

Subject:

English

Publication Date:

May 1, 2000

ISBN/ISSN:

9781451851274/1018-5941

Stock No:

WPIEA0892000

Format:

Paper

Pages:

34

Please address any questions about this title to publications@imf.org