THE CO-MOVEMENT CONNECTION BETWEEN THE GDP AND THE MAIN STOCK MARKET INDEX. THE CASES OF USA AND ROMANIA

Ioan Roxana
Additional contact information
Ioan Roxana: FACULTY OF ECONOMICS AND BUSINESS ADMINISTRATION WEST UNIVERSITY OF TIMISOARA

Annals - Economy Series, 2015, vol. 6, 186-192

Abstract: A recurring problem among economists is that of the connection supposed to exist between the Gross Domestic Product and the main stock market index. Several studies have been conducted, trying to analyze the existence and the extent of this connection, most of them concluding the fact that this relation, if existing, is not a statistically significant one. The analyzed relations between a certain country’s Gross Domestic Product and its main stock market index are mainly concentrated with studying correlations, regressive dependencies or cointegration connections calculated by taking into consideration the level of both time series. The best measure of an economy’s performance and evolution is the Gross Domestic Product, an indicator that suggests every step taken by that economy, including its cyclical oscillations. Among specialists, the stock market is seen as a barometer of the global economy, as investors try to exit the stock market before recessions and conversely they return to the stock market just as economy starts to recover. Thus, we find appropriate to analyze the connection between the stock market and the global economy from a cyclical evolution point of view. Therefore, we will take into consideration both GDP’s and stock market index’ cyclical components, as extracted using the Hodrick Prescott filter. The cyclical components’ comovement will then by studied using a procedure proposed in 2009 by Pirtea, Pătru, Dima and Cristea.

Keywords: Gross Domestic Product; stock market index; co-movement; stationarity; kurtosis; covariance (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.utgjiu.ro/revista/ec/pdf/2015-06/25_Ioan%20Roxana.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cbu:jrnlec:y:2015:v:6:p:186-192

Access Statistics for this article

More articles in Annals - Economy Series from Constantin Brancusi University, Faculty of Economics Contact information at EDIRC.
Bibliographic data for series maintained by Ecobici Nicolae ( this e-mail address is bad, please contact ).