Stock Returns and Output Growth in Emerging and Advanced Economies

Paolo Mauro

No 2000/089, IMF Working Papers from International Monetary Fund

Abstract: 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.

Keywords: WP; stock return; stock; output growth; Leading indicators; stock markets; emerging markets; broad money growth; returns-growth association; narrow money; emerging markets Factbook; Stocks; Emerging and frontier financial markets; Production growth; Market capitalization; Africa (search for similar items in EconPapers)
Pages: 34
Date: 2000-05-01
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Citations: View citations in EconPapers (33)

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Journal Article: Stock returns and output growth in emerging and advanced economies (2003)
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