The Study of Correlation between Stock Market Dynamics and Real Economy
AbstractThe current financial crises have determined many economists considering the source and cause of its development being the decorrelation between financial flows and real economy. In this paper, using ARIMA methodology we decompose the trend component of a stock index and apply Johansen cointegration test in order to find the measure of cointegration between capital markets’ dynamics and economic growth. Our results show that most of the indices analyzed show no cointegration with economic growth. The study highlights one of the most important factors leading to the current financial and economic crisis, namely the decoupling of the financial sector from the real economy sector.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by Danubius University of Galati in its journal Euroeconomica.
Volume (Year): (2012)
Issue (Month): 2(31) (May)
trend; economic growth; cointegration;
You can help add them by filling out this form.
reading list or among the top items on IDEAS.Access and download statisticsgeneral information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Florian Nuta).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.