Is the Relationship between Stock Returns and Economic Growth Disappearing? A Cross-Sectional Analysis

Abstract

本文利用49個國家1960年至2003的橫斷面資料，建構門檻迴歸(Threshold Regressive; TR)模型，重新檢驗Binswanger(2004)的發現，即股價報酬與經濟成長之間關係可能會消失。實證結果發現，利用不同的樣本期間進行檢驗，不僅發現高所得國家股價報酬與經濟成長之間同樣具有顯著的正相關，低所得國家也會有相同的現象。因此我們認為，Binswanger(2004)利用線性模型進行估計與檢定，發現股價報酬與經濟成長之間相關性消失的現象並不完全正確，從本文的實證結果可驗證兩者之間關係的消失，僅出現在高所得國家的體制內。

By employing the cross-sectional data of 49 countries from 1960 to 2003 and constructing the threshold regressive (TR) model, this study re-examines the finding of Binswanger (2004) that the relationship between the stock returns and economic growth is disappearing. Our empirical results from various sample periods indicate that the significantly positive relationship between the stock returns and economic growth exists in both high-income and low-income countries. From our findings we conclude that the empirical result from a linear estimation of Binswanger (2004) is only partially correct. Our findings show that the disappearing relationship only exists in high-income countries.