文章基本信息

标题：THE CO-MOVEMENT CONNECTION BETWEEN THE GDP AND THE MAIN STOCK MARKET INDEX. THE CASES OF USA AND ROMANIA
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作者：IOAN ROXANA
期刊名称：Analele Universităţii Constantin Brâncuşi din Târgu Jiu : Seria Economie
印刷版ISSN：1844-7007
出版年度：2015
卷号：1
期号：6
页码：186-192
语种：English
出版社：Academica Brâncuşi
摘要：A recurring problem among economists is that of the connection supposed to exist between the Gross Domestic Product and the main stock market index. Several studies have been conducted, trying to analyze the existence and the extent of this connection, most of them concluding the fact that this relation, if existing, is not a statistically significant one. The analyzed relations between a certain country’s Gross Domestic Product and its main stock market index are mainly concentrated with studying correlations, regressive dependencies or cointegration connections calculated by taking into consideration the level of both time series. The best measure of an economy’s performance and evolution is the Gross Domestic Product, an indicator that suggests every step taken by that economy, including its cyclical oscillations. Among specialists, the stock market is seen as a barometer of the global economy, as investors try to exit the stock market before recessions and conversely they return to the stock market just as economy starts to recover. Thus, we find appropriate to analyze the connection between the stock market and the global economy from a cyclical evolution point of view. Therefore, we will take into consideration both GDP’s and stock market index’ cyclical components, as extracted using the Hodrick Prescott filter. The cyclical components’ comovement will then by studied using a procedure proposed in 2009 by Pirtea, Pătru, Dima and Cristea.