Abstract

http://ssrn.com/abstract=2434832
 


 



Economic Growth Risk and Stock Market Performance: Cross-Sectional Evidence from 70 Countries


Vichet Sum


University of Maryland Eastern Shore - School of Business and Technology

May 8, 2014


Abstract:     
This study investigates the impact of economic growth risk on stock market performance in 70 countries. Based on the analysis of the full sample, on average, 1% increase in economic growth risk is associated with 0.23% (p = 0.058) increase in stock market return. Looking at stock market return calculated using January returns only, on average, 1% increase in economic growth risk is associated with 0.647% (p = 0.013) increase in stock market return. On average, 1% increase in economic growth risk is associated with 0.469% (p = 0.025) increase in stock market January return across developed markets. Likewise, on average, 1% increase in economic growth risk is associated with 0.695% (p = 0.069) increase in stock market January return across frontier markets. Finally, economic growth risk does not appear to have any impact on stock market return across emerging markets.

Number of Pages in PDF File: 21

Keywords: economic growth risk, GDP growth volatility, stock market returns

JEL Classification: N10, G10, G11, G15

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Date posted: May 12, 2014 ; Last revised: May 17, 2014

Suggested Citation

Sum, Vichet, Economic Growth Risk and Stock Market Performance: Cross-Sectional Evidence from 70 Countries (May 8, 2014). Available at SSRN: http://ssrn.com/abstract=2434832 or http://dx.doi.org/10.2139/ssrn.2434832

Contact Information

Vichet Sum (Contact Author)
University of Maryland Eastern Shore - School of Business and Technology ( email )
2105 Kiah Hall
Princess Anne, MD 21853
United States
410-651-6531 (Phone)
410-651-6529 (Fax)
HOME PAGE: http://www.umes.edu/bma/Sum.html
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