Stock Returns and Output Growth in Emerging and Advanced Economies
May 1, 2000
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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.
Subject: Emerging and frontier financial markets, Financial institutions, Financial markets, Market capitalization, Production, Production growth, Stock markets, Stocks
Keywords: Africa, broad money growth, Emerging and frontier financial markets, emerging markets, emerging markets Factbook, Leading indicators, Market capitalization, narrow money, output growth, Production growth, returns-growth association, stock, stock markets, stock return, Stocks, WP
Pages:
34
Volume:
2000
DOI:
Issue:
089
Series:
Working Paper No. 2000/089
Stock No:
WPIEA0892000
ISBN:
9781451851274
ISSN:
1018-5941
