Do Stock Index Futures Affect Economic Growth? Evidence from 32 Countries
Emerging Markets Finance and Trade, cilt.54, sa.2, ss.410-429, 2018 (SSCI, Scopus)
- Yayın Türü: Makale / Tam Makale
- Cilt numarası: 54 Sayı: 2
- Basım Tarihi: 2018
- Doi Numarası: 10.1080/1540496x.2016.1247348
- Dergi Adı: Emerging Markets Finance and Trade
- Derginin Tarandığı İndeksler: Social Sciences Citation Index (SSCI), Scopus
- Sayfa Sayıları: ss.410-429
- Anahtar Kelimeler: economic growth, financial development, stock index futures
- TED Üniversitesi Adresli: Hayır
Özet
This article investigates the relationship between stock index futures markets development and economic growth using time-series methods for 32 developed and developing countries. Evidence of cointegration between stock index futures and real economy in 29 countries suggests the presence of co-movements among the variables, indicating long-run stationarity in those countries. Our findings show that there is Granger-causality from stock index futures markets development to economic growth for middle-income countries with relatively low real per capita GDP, and Granger-causality in the reverse direction for the countries with high real per capita GDP. Variance decomposition and impulse-response function (IRF) analyses results support the existence of a relationship between stock index futures and real economy.