Chapter 2 Linkages between Stock Market Fluctuations and Business Cycles in Asia
The Evolving Role of Asia in Global Finance
ISBN: 978-0-85724-745-2, eISBN: 978-0-85724-746-9
Publication date: 8 March 2011
Abstract
This chapter sheds new light on the linkages between stock market fluctuations and business cycles in Asia. It shows that at cyclical frequencies stock markets lead business cycles by six months on average. China, Korea, and Taiwan constitute exceptions, as their real and stock market cycles are contemporaneously synchronized. The low level of maturity of these markets offers a potential explanation of this outcome. Furthermore, we find that the linkage also holds during phases of cyclical upswing and downturn, with the exception of China, where the financial market lags behind industrial production during expansions. Finally, for most of the countries (except Thailand and Malaysia), the linkage is also robust to the presence of financial crises.
Keywords
Citation
Candelon, B. and Metiu, N. (2011), "Chapter 2 Linkages between Stock Market Fluctuations and Business Cycles in Asia", Cheung, Y.-W., Kakkar, V. and Ma, G. (Ed.) The Evolving Role of Asia in Global Finance (Frontiers of Economics and Globalization, Vol. 9), Emerald Group Publishing Limited, Leeds, pp. 23-51. https://doi.org/10.1108/S1574-8715(2011)0000009007
Publisher
:Emerald Group Publishing Limited
Copyright © 2011, Emerald Group Publishing Limited