Original scientific paper
https://doi.org/10.1080/1331677X.2019.1642786
Dynamics in the co-movement of economic growth and stock return: comparison between the United States and China
Yu Jiang
; Department of Finance and Insurance, Nanjing University, Nanjing, Jiangsu, P. R. China
Abstract
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
Keywords
Co-movement; stock return; economic growth; dynamic correlation; time-varying copula model
Hrčak ID:
228873
URI
Publication date:
22.1.2019.
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