Do Stock Index Futures Affect Economic Growth? Evidence from 32 Countries |
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Authors: | ?lkay ?endeniz-Yüncü Levent Akdeniz Kür?at Aydo?an |
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Institution: | 1. Department of Business Administration, Middle East Technical University, Ankara, Turkey;2. Faculty of Business Administration, Bilkent University, Ankara, Turkey |
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Abstract: | 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. |
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Keywords: | economic growth financial development stock index futures |
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