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Stock Market Liquidity and Economic Growth: A Critical Appraisal of the Levine/Zervos Model

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  • Robert Pollin
  • Michael Ash
  • Andong Zhu
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    Abstract

    Levine and Zervos (1998) presented cross-country econometric evidence showing that, in a sample of 47 countries, stock market liquidity contributed a significant positive influence on GDP growth between 1976-93. We show that the Levine-Zervos results are not robust to alternative specifications because of the incomplete manner in which they control for outliers in their data. We show that when one properly controls for outliers, stock market liquidity no longer exerts any statistically observable influence on GDP growth.

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    File URL: http://www.peri.umass.edu/fileadmin/pdf/working_papers/working_papers_1-50/WP47.pdf
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    Bibliographic Info

    Paper provided by Political Economy Research Institute, University of Massachusetts at Amherst in its series Working Papers with number wp47.

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    Date of creation: 2002
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    Handle: RePEc:uma:periwp:wp47

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    1. Ross Levine & Sara Zervos, . "Stock markets, banks and economic growth ," CERF Discussion Paper Series 95-11, Economics and Finance Section, School of Social Sciences, Brunel University.
    2. Koenker,Roger, 2005. "Quantile Regression," Cambridge Books, Cambridge University Press, number 9780521608275.
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