Modelling of the relation between financial market and growth in EU: convergence and behavioural regimes

Generally in specialised literature it is accepted that, in a modern economy, between financial market and growth should be a strong relation. Consequently, the real convergence in EU (already demonstrated during last two decades) should be followed by a convergence in matter of financial market development. Unfortunately, today still there are huge discrepancies among countries or groups of countries in EU in matter of financial market, this being apparently irregular correlated with real economy development. Chronic underdevelopment of financial market in eastern countries of EU is doubled by an apparently atypical mismatch between financial market and macroeconomic dynamic even in case of western countries. This is why we consider being important firstly to find and estimate some significant parameters related to the relation between financial market and macroeconomic variables, and secondly, based on them, to re-build some possible behavioural regimes, often ignored or remaining hidden in standard analysis of convergence. In this area is located our main contribution, trying to highlight the transition from one regime to another in matter of correlation between market capitalisation and GDP per capita, along with the increasing of development level. Moreover, using available high frequency data for EU area, the study is proposing a typology based on the correlation inter-countries both in matter of dynamics of GDP and in matter of dynamics of stock index. Thus, few conclusions can be also extracted about the so-called contagion coming from the financial market or from macroeconomic environment in countries most affected by crisis to the rest of countries in EU.