Stock returns and economic activity in mature and emerging markets

Tsouma, Ekaterini

doi:10.1016/j.qref.2008.02.002

Cited by 61 publications

(47 citation statements)

References 24 publications

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“…Stock market performance, at the same time, is one of the key leading indicators for the economic performance of a country (Schwert, 1989). Similar observations were found in Hamilton and Gang (1996) and Tsouma (2009).…”

Section: Direction Of Volatility Spilloversupporting

confidence: 70%

“…Theoretically, innovations in macroeconomic variables such as industrial production index, and real GDP growth rates have systematic effect on stock market returns (Che, Roll & Ross 1986;Schwert 1989;Hamilton and Gang 1996;Tang, Habibullah, and Puah 2007;Tsouma 2009;Franses and Mees 2011;Narayan and Narayan 2012;Yang andHamori 2014 andDonadelli 2014). The existing empirical analyses on the fluctuation in Indian economic activities and its impact on the stock markets in the Asian countries are still limited.…”

Section: Literature Reviewmentioning

confidence: 99%

See 1 more Smart Citation

Do Indian Economic Activities Impact ASEAN-5 Stock Markets?

Teng¹,

Yean²,

Soo³

2015

JEM

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Section: Direction Of Volatility Spilloversupporting

confidence: 70%

Section: Literature Reviewmentioning

confidence: 99%

Do Indian Economic Activities Impact ASEAN-5 Stock Markets?

Teng¹,

Yean²,

Soo³

2015

JEM

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show abstract

“…In fact, before the 2007-2009 financial crisis, Dixit and Lambertini (2003) already recommended that the coordination between fiscal and monetary authorities can achieve desirable economic outcomes. They coined the term "Symbiosis" which can be tracked back to Tinbergen's (1953) Principle. However, the difference is that Tinbergen Principle was not a policy guideline at that time (Agénor & Pereira da Silva, 2012) and now the combination of fiscal and monetary policies is seriously discussed by researchers and considered by policy-makers (Hughes Hallett, Libich, & Stehlík, 2011;Mishkin, 2011).…”

Section: Introductionmentioning

confidence: 99%

Financial stability, wealth effects and optimal macroeconomic policy combination in the United Kingdom: A new-Keynesian dynamic stochastic general equilibrium framework

Nasir

Yago

Soliman

et al. 2016

Cogent Economics & Finance

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This study derives an optimal macroeconomic policy combination for financial sector stability in the United Kingdom by employing a New Keynesian Dynamic Stochastic General Equilibrium (NK-DSGE) framework. The empirical results obtained show that disciplined fiscal and accommodative monetary policies stance is optimal for financial sector stability. Furthermore, fiscal indiscipline countered by contractionary monetary stance adversely affects financial sector stability. Financial markets, e.g. stocks and Gilts show a short-term asymmetric response to macroeconomic policy interaction and to each other. The asymmetry is a reflection of portfolio adjustment. However in the long-run, the responses to suggested optimal policy combination had homogenous effects and there was evidence of co-movement in the stock and Gilt markets.

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“…Studies on the relationship between stock prices and economic growth have been conducted by, among others, Lee (1982), Hassapis and Kalyvitis (2002), Kim and In (2003), Duca (2007), Panopoulou (2009), Tsouma (2009. Ritter (2005), Cole et al (2008), Zhou et al (2012), and Chun et al (2013).…”

Section: Introductionmentioning

confidence: 99%

A Model of the Dynamic of the Relationship between Stock Prices and Economic Growth of Indonesia

Adam¹

2015

AEF

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This study aimed to examine the dynamic of the relationship between stock prices and economic growth in Indonesia over the period from the first quarter 2004 to the fourth quarter 2013. The study analyzed two types of quarterly data, i.e., data about stock prices that referred to stock price index issued by Indonesian Stock Exchange and data of economic growth that referred to the percentage of changes in gross domestic product (GDP). To analyze the dynamic of the relationship, the general univariate causal model of LVAR was employed. Findings revealed that there was a significant dynamic of relationship between the two variables under investigation. The relationship was positive, meaning that when stock prices went up (went down), then the economic growth of Indonesia went up (went down) as well. Each 1% increase (decrease) in the stock prices was always followed by 0.09% increase (decrease) in Indonesian economic growth.

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Stock returns and economic activity in mature and emerging markets

Cited by 61 publications

References 24 publications

Do Indian Economic Activities Impact ASEAN-5 Stock Markets?

Do Indian Economic Activities Impact ASEAN-5 Stock Markets?

Financial stability, wealth effects and optimal macroeconomic policy combination in the United Kingdom: A new-Keynesian dynamic stochastic general equilibrium framework

A Model of the Dynamic of the Relationship between Stock Prices and Economic Growth of Indonesia

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