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Communities & Collections
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Do Stock Index Futures Affect Economic Growth? Evidence from 32 Countries
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Date
2018-01-26
Author
Şendeniz Yüncü, İlkay
Akdeniz, Levent
Aydoğan, Kürşat
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This work is licensed under a
Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License
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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.
Subject Keywords
Economic growth
,
Financial development
,
Stock index futures
URI
https://hdl.handle.net/11511/38756
Journal
Emerging Markets Finance and Trade
DOI
https://doi.org/10.1080/1540496x.2016.1247348
Collections
Department of Business Administration, Article