Stock market and economic growth nexus in emerging markets: cointegration and causality analysis

Ekrem Erdem, Onur Gozbasi, M. Fatih Ilgun and Saban Nazlioglu

International Journal of Business Forecasting and Marketing Intelligence, 2010, vol. 1, issue 3/4, 262-274

Abstract: The purpose of this study is to examine the short- and long-run relationships between stock market performance and economic growth for six emerging countries (Malaysia, Turkey, Mexico, Korea, India, and Brazil). To this end, the bounds testing approach to cointegration and Granger and Toda-Yamamoto causality tests are conducted for quarterly data. The results imply that there is a close relationship between stock market performance and economic growth in the long-run and that stock market performance is an impetus for economic growth in the short-run. The key finding of this study is that the relationship between stock market performance and economic growth is sensitive to the size of stock market.

Keywords: stock markets; economic growth; emerging markets; cointegration; causality; short term; long term; stock market performance; Malaysia; Turkey; Mexico; Korea; India; Brazil; stock market size. (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (3)

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