Stock Market Equilibrium and Macroeconomic Fundamentals

Leigh, Lamin

doi:10.5089/9781451843224.001

Cited by 18 publications

(16 citation statements)

References 33 publications

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“…In addition, though, this study shows that stock market development enhances economic growth through its impact on investment productivity in the long run. The results also consistent with Leigh's (1997) argument that well-functioning stocks market can perform its allocative functions through the pricing of shares. An efficient pricing process will reward the well-managed and profitable firms by valuing their shares more highly than those of unsuccessful and unprofitable firms.…”

Section: Resultssupporting

confidence: 79%

Endogenous Growth Models and Stock Market Development: Evidence from Four Countries

Caporale¹,

Howells²,

Soliman³

2005

Rev Development Economics

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This paper re-examines the relationship between stock market development and economic growth. It provides a theoretical basis for establishing the channel through which stock markets affect economic growth in the long run. It examines the hypothesis of endogenous growth models that financial development causes higher growth through its influence on the level of investment and its productivity. The empirical part of this study exploits techniques recently developed to test for causality in VARs.The evidence obtained from a sample of four countries suggests that investment productivity is the channel through which stock market development enhances the growth rate in the long run.

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Section: Resultssupporting

confidence: 79%

Endogenous Growth Models and Stock Market Development: Evidence from Four Countries

Caporale¹,

Howells²,

Soliman³

2005

Rev Development Economics

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“…Stock returns are often used as leading indicators of GDP growth. For three recent examples, see Leigh (1997), Poterba and Samwick (1995), and Gallinger (1994). We use stock returns in 1997 to proxy for the real effects of the crisis because, as of this date, there are not sufficient data available for 1998 GDP growth to allow us to use that as our dependent variable in this section.…”

Section: A the Stock Market-currency Depreciation Link: Theorymentioning

confidence: 99%

Exchange rate regimes and the cross‐country distribution of the 1997 financial crisis

Grier

2001

Economic Inquiry

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We study variations in the severity of the 1997 financial crisis in a sample of 25 developing countries. We use both currency depreciation and stock market returns as crisis measures. Our key findings are that countries that started 1997 with an exchange rate peg experienced significantly greater currency depreciation and significantly lower stock returns than would be predicted from the levels of various macroeconomic indicators. (JEL F3, F4)

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“…3 2 Early work of this type begins with Homa and Jaffee (1971); Rozeff (1974); Rogalski and Vinso (1977) and Huang and Kracaw (1984) for example. Some more recent studies include Darrat (1990); Kwok (1992); Lee (1992); Muradoglu-Sengul and Onkal (1992); Stengos and Panas (1992); Cornelius (1993); Gallinger (1994); Hiemstra and Jones (1994); Asai and Tsunemasa (1995) ;Fung, Lo and Leung (1995); Jensen, Mercer and Johnson (1996); Kearney (1996); Ratner and Leal (1996); Leigh (1997); al-Bazai (1998); Niarchos and Alexakis (1998) ;Dhatt, Kim and Mukherji (1999);and Ibrahim (1999). The literature is summarized in Fifield, Lonie and Power (1998).…”

Section: Introductionmentioning

confidence: 99%

The Relationship Between Economic Factors and Equity Markets in Central Europe

Hanousek

Filer

2000

Economics of Transition

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This paper investigates the possibility that newly-emerging equity markets in Central Europe exhibit semi-strong form efficiency such that no relationship exists between lagged values of changes in economic variables and changes in equity prices. We find that while there are connections between the real economy and equity market returns in Poland and Hungary, these links occur with lags, suggesting the possibility of profitable trading strategies based on public information and rejecting semi-strong efficiency. For the Czech Republic the situation is more complex. In recent periods, little connection exists between lagged economic variables and equity market returns. Although this finding might be viewed as consistent with semi-strong efficiency, in fact there is also little connection between current economic values and stock prices in the Czech Republic. Thus, instead of processing information efficiently, the Czech market appears to be entirely divorced from the real world. It is suggested that the difference in the current status of these markets may be due to the different methods by which they were created. JEL classification: E44, G15, O16.

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Stock Market Equilibrium and Macroeconomic Fundamentals

Cited by 18 publications

References 33 publications

Endogenous Growth Models and Stock Market Development: Evidence from Four Countries

Endogenous Growth Models and Stock Market Development: Evidence from Four Countries

Exchange rate regimes and the cross‐country distribution of the 1997 financial crisis

The Relationship Between Economic Factors and Equity Markets in Central Europe

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