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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

Puni tekst: engleski, pdf (1 MB) str. 1965-1976 preuzimanja: 66* citiraj
APA 6th Edition
Jiang, Y. (2019). Dynamics in the co-movement of economic growth and stock return: comparison between the United States and China. Economic research - Ekonomska istraživanja, 32 (1), 1965-1976. https://doi.org/10.1080/1331677X.2019.1642786
MLA 8th Edition
Jiang, Yu. "Dynamics in the co-movement of economic growth and stock return: comparison between the United States and China." Economic research - Ekonomska istraživanja, vol. 32, br. 1, 2019, str. 1965-1976. https://doi.org/10.1080/1331677X.2019.1642786. Citirano 04.04.2020.
Chicago 17th Edition
Jiang, Yu. "Dynamics in the co-movement of economic growth and stock return: comparison between the United States and China." Economic research - Ekonomska istraživanja 32, br. 1 (2019): 1965-1976. https://doi.org/10.1080/1331677X.2019.1642786
Harvard
Jiang, Y. (2019). 'Dynamics in the co-movement of economic growth and stock return: comparison between the United States and China', Economic research - Ekonomska istraživanja, 32(1), str. 1965-1976. https://doi.org/10.1080/1331677X.2019.1642786
Vancouver
Jiang Y. Dynamics in the co-movement of economic growth and stock return: comparison between the United States and China. Economic research - Ekonomska istraživanja [Internet]. 2019 [pristupljeno 04.04.2020.];32(1):1965-1976. https://doi.org/10.1080/1331677X.2019.1642786
IEEE
Y. Jiang, "Dynamics in the co-movement of economic growth and stock return: comparison between the United States and China", Economic research - Ekonomska istraživanja, vol.32, br. 1, str. 1965-1976, 2019. [Online]. https://doi.org/10.1080/1331677X.2019.1642786

Sažetak
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

Ključne riječi
Co-movement; stock return; economic growth; dynamic correlation; time-varying copula model

Hrčak ID: 228873

URI
https://hrcak.srce.hr/228873

Posjeta: 114 *