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Stock Returns and Output Growth in Emerging and Advanced Economies

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  • Paolo Mauro

Abstract

This paper studies the correlation between output growth and lagged stock returns in a panel of emerging market economies and advanced economies. It finds that the correlation is as strong in emerging market economies as in advanced economies. Asset prices therefore contain valuable information to forecast output also in emerging market economies. Moreover, the paper finds that the strength of the correlation between output growth and lagged stock returns is significantly related to a number of stock market characteristics, such as the number of listed domestic companies and initial public offerings and, especially, a high market capitalization to GDP ratio and English legal origin.

Suggested Citation

  • Paolo Mauro, 2000. "Stock Returns and Output Growth in Emerging and Advanced Economies," IMF Working Papers 00/89, International Monetary Fund.
  • Handle: RePEc:imf:imfwpa:00/89
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    References listed on IDEAS

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    Keywords

    Economic growth; Developing countries; Developed countries; Stock markets; Leading indicators; emerging markets; stock returns; stock market; correlation; stock price; statistics;

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