Do Stock Index Futures Affect Economic Growth? Evidence from 32 Countries

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2018-01-26
Şendeniz Yüncü, İlkay
Akdeniz, Levent
Aydoğan, Kürşat
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.

Citation Formats
İ. Şendeniz Yüncü, L. Akdeniz, and K. Aydoğan, “Do Stock Index Futures Affect Economic Growth? Evidence from 32 Countries,” Emerging Markets Finance and Trade, vol. 54, no. 2, pp. 410–429, 2018, Accessed: 00, 2020. [Online]. Available: https://hdl.handle.net/11511/38756.