Χρηματαγορές και πραγματική οικονομική δραστηριότητα : διεθνή στοιχεία

Abstract

This paper studies the causal relations between real stock returns and industrial production in a panel of emerging and advanced economies. It’s worth saying that Indonesia, Korea, Malaysia, Philippines, Thailand, Taiwan are classified as emerging markets through the listing adopted by the International Finance Corporation (in Emerging Markets Factbook, 1997). On the contrary, Australia, Hong Kong, Japan, Singapore are regarded as advanced markets, according to the International Finance Corporation. Using a multivariate vector auto-regression (VAR) approach, we find that industrial production granger cause real stock returns in Korea and Philippines. Moreover, the paper finds that real stock returns granger cause industrial production in China, Korea, Malaysia, Thailand, Indonesia and Hong Kong. Last but not least, we find that there is no causality between real stock returns and real activity in Australia, Japan, Singapore and Taiwan at all. In general, our findings indicate that stock markets are efficient in some of these markets while in other they are not.