Dynamics in the co-movement of economic growth and stock return: comparison between the United States and China

Figures & data

Figure 1. Sample path of S&P 500 returns and U.S. G.D.P. growth rates. Source: Wharton Research Data Services and the U.S. Bureau of Economic Analysis.

Figure 2. Sample path of S.H.A.S.H.R. returns and China G.D.P. growth rates. Source: Shanghai Stock Exchange and the National Bureau of Statistics of China.

Table 1. Descriptive statistics of stock index returns and G.D.P. growth rates.

	Mean	S.D.	Median	Maximum	Minimum	Skewness	Kurtosis
U.S. G.D.P. growth	0.0062	0.0059	0.0068	0.019	−0.021	−1.306	7.760
S&P 500 return	0.018	0.076	0.025	0.190	−0.256	−0.914	4.586
China G.D.P. growth	0.098	0.024	0.097	0.153	0.064	0.487	2.224
S.H.A.S.H.R. return	0.021	0.210	0.007	1.190	−0.521	1.618	12.936

Source: Author’s calculations.

Table 2. Estimating results for the marginal distributions.

	constant	A.R.(1)	A.R.C.H.(1)	G.A.R.C.H.(1)	$\nu$	L–B test	K–S test
China G.D.P. growth	0.075*	0.96*	—	—	2.02*	0.97	0.63
U.S. G.D.P. growth	0.0079*	0.36*	—	—	4.33*	0.35	0.93
S.H.A.S.H.R. return	0.0047	—	0.19	0.71*	3.51*	0.86	0.98
S&P 500 return	0.024*	0.057	0.26*	0.54*	5.63*	0.72	0.41

Note: The order of lagged terms is determined by A.I.C.. $\nu$ is the degree of freedom of t errors. L–B test tests the autocorrelation up to eight lags.

Source: Author’s calculations.

*The parameter is significantly different from 0 at the 5% level, except for the degree of freedom, for which the inverse of parameter is significantly different from 0 at the 5% level.

Figure 3. Dynamic correlations of stock return and economic growth. Source: Author’s estimations.

Table 3. Estimating results for copula functions.

	Parameter	U.S.	China
Constant normal copula	$\rho$	0.34	0.17
Time-varying normal copula	$\omega$	0.39	0.26
	$\alpha$	−0.43	−0.02
	$\beta$	1.62	0.40

Source: Author’s calculations.

Figure 4. Dynamic correlations of stock return and economic growth (robustness test). Source: Author’s estimations.

Table 4. Estimating results for copula functions (robustness test).

	Parameter	U.S.	China
Constant normal copula	$\rho$	0.32	0.17
Time-varying normal copula	$\omega$	0.44	0.45
	$\alpha$	−0.47	−0.03
	$\beta$	1.40	0.22

Source: Author’s calculations.