IMF Working Papers

Stock Returns and Output Growth in Emerging and Advanced Economies

By Paolo Mauro

May 1, 2000

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Paolo Mauro. Stock Returns and Output Growth in Emerging and Advanced Economies, (USA: International Monetary Fund, 2000) accessed November 24, 2024
Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate

Summary

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.

Subject: Emerging and frontier financial markets, Financial institutions, Financial markets, Market capitalization, Production, Production growth, Stock markets, Stocks

Keywords: Africa, Broad money growth, Emerging and frontier financial markets, Emerging markets, Emerging markets Factbook, Leading indicators, Market capitalization, Narrow money, Output growth, Production growth, Returns-growth association, Stock, Stock markets, Stock return, Stocks, WP

Publication Details

  • Pages:

    34

  • Volume:

    ---

  • DOI:

    ---

  • Issue:

    ---

  • Series:

    Working Paper No. 2000/089

  • Stock No:

    WPIEA0892000

  • ISBN:

    9781451851274

  • ISSN:

    1018-5941

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