Dynamics in the co-movement of economic growth and stock return
Comparison between the United States and China
Bibliographic Data
| ID | 15066565 |
|---|---|
| Authors | Yu Jiang (0000-0001-8828-7832, Nanjing University, corresponding author) |
| Year | 2019 |
| Volume | 32 |
| Issue | 1 |
| Pages | 1965-1976 |
| Publication date | 2019-01-01 |
| Peer Reviewed | Yes |
| Open Access | Yes |
| Type | ARTICLE |
| Venue | Economic Research-Ekonomska Istraživanja (JOURNAL) |
| Journal identifiers | ISSN: 1331-677X • E-ISSN: 1848-9664 |
| Publisher | Informa UK Limited (PUBLISHER • GB) |
| DOI | 10.1080/1331677x.2019.1642786 |
| OpenAlex | W2964570692 |
| Language | EN |
| Citations received | 2 |
| References cited | 26 |
The performance of the stock market is usually regarded as the barometer of economic growth and stock return and economic growth are, therefore, believed to co-move. However, the co-movement may exhibit different characteristics in various economic systems. This paper studies the co-movement of stock return and economic growth in two representative countries, the U.S. and China, with entirely different economic systems. The degree of co-movement is measured by the correlation of stock index return and G.D.P. growth rate and a time-varying copula model is applied to capture the dynamic characteristics of the co-movement. Empirical results show that the co-movement of stock return and economic growth is relatively strong but fluctuant in the U.S. and is relatively weak but stable in China. The differences in the co-movement can be interpreted by different economic growth modes in the U.S. and China
China · Econometrics · Economics · Financial economics · Geography · Stock market · Complex Systems and Time Series Analysis · Financial Risk and Volatility Modeling · Monetary Policy and Economic Impact
| Unique citing works | 2 |
|---|---|
| Citations per year | 0,5 |
| Citation span | 2022 - 2023 (2) |
| Citation velocity | historical |
| Highly cited | No |
| Citation types | Neutral: 2 |