Toda and Yamamoto Causality Between Stock Market Development and Economic Growth: Evidence from China, Japan, Singapore, UK and US
This study investigates the direction of the causality between economic growth and stock market performance in three Asian countries - China, Singapore, Japan and two western developed countries - the UK and the US. By analyzing the quarterly real GDP and the stock index in each country with the hel...
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| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
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2012
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| Online Access: | https://eprints.nottingham.ac.uk/25784/ |
| _version_ | 1848793054231658496 |
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| author | Zhang, Haoxing |
| author_facet | Zhang, Haoxing |
| author_sort | Zhang, Haoxing |
| building | Nottingham Research Data Repository |
| collection | Online Access |
| description | This study investigates the direction of the causality between economic growth and stock market performance in three Asian countries - China, Singapore, Japan and two western developed countries - the UK and the US. By analyzing the quarterly real GDP and the stock index in each country with the help of Augmented Dickey-Fuller (ADF) unit root test, Breusch-Godfrey LM test, Johansen co-integration test and a subsequent improved version of traditional Granger-causality test proposed by Toda and Yamamoto (1995), we find that there is no long-run co-integrating relationship between quarterly real GDP and stock market index in all five countries. Additionally, evidences are presented of unidirectional causality running from stock market development to economic growth in all three Asian countries and bidirectional causality in the United States. However, the FTSE 100 and the quarterly real GDP in the United Kingdom is proved to be independent. Therefore, the causal relationship between stock market performance and economic growth in the three Asian countries support the “supply-leading” hypothesis proposed by Patrick (1966). |
| first_indexed | 2025-11-14T18:54:12Z |
| format | Dissertation (University of Nottingham only) |
| id | nottingham-25784 |
| institution | University of Nottingham Malaysia Campus |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-14T18:54:12Z |
| publishDate | 2012 |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | nottingham-257842017-10-19T14:26:00Z https://eprints.nottingham.ac.uk/25784/ Toda and Yamamoto Causality Between Stock Market Development and Economic Growth: Evidence from China, Japan, Singapore, UK and US Zhang, Haoxing This study investigates the direction of the causality between economic growth and stock market performance in three Asian countries - China, Singapore, Japan and two western developed countries - the UK and the US. By analyzing the quarterly real GDP and the stock index in each country with the help of Augmented Dickey-Fuller (ADF) unit root test, Breusch-Godfrey LM test, Johansen co-integration test and a subsequent improved version of traditional Granger-causality test proposed by Toda and Yamamoto (1995), we find that there is no long-run co-integrating relationship between quarterly real GDP and stock market index in all five countries. Additionally, evidences are presented of unidirectional causality running from stock market development to economic growth in all three Asian countries and bidirectional causality in the United States. However, the FTSE 100 and the quarterly real GDP in the United Kingdom is proved to be independent. Therefore, the causal relationship between stock market performance and economic growth in the three Asian countries support the “supply-leading” hypothesis proposed by Patrick (1966). 2012-09-18 Dissertation (University of Nottingham only) NonPeerReviewed application/pdf en https://eprints.nottingham.ac.uk/25784/1/DT_Final_3.pdf Zhang, Haoxing (2012) Toda and Yamamoto Causality Between Stock Market Development and Economic Growth: Evidence from China, Japan, Singapore, UK and US. [Dissertation (University of Nottingham only)] (Unpublished) Economic Growth Stock market Toda and Yamamoto Granger causality China Singapore Japan The US The UK |
| spellingShingle | Economic Growth Stock market Toda and Yamamoto Granger causality China Singapore Japan The US The UK Zhang, Haoxing Toda and Yamamoto Causality Between Stock Market Development and Economic Growth: Evidence from China, Japan, Singapore, UK and US |
| title | Toda and Yamamoto Causality Between Stock Market Development and Economic Growth: Evidence from China, Japan, Singapore, UK and US |
| title_full | Toda and Yamamoto Causality Between Stock Market Development and Economic Growth: Evidence from China, Japan, Singapore, UK and US |
| title_fullStr | Toda and Yamamoto Causality Between Stock Market Development and Economic Growth: Evidence from China, Japan, Singapore, UK and US |
| title_full_unstemmed | Toda and Yamamoto Causality Between Stock Market Development and Economic Growth: Evidence from China, Japan, Singapore, UK and US |
| title_short | Toda and Yamamoto Causality Between Stock Market Development and Economic Growth: Evidence from China, Japan, Singapore, UK and US |
| title_sort | toda and yamamoto causality between stock market development and economic growth: evidence from china, japan, singapore, uk and us |
| topic | Economic Growth Stock market Toda and Yamamoto Granger causality China Singapore Japan The US The UK |
| url | https://eprints.nottingham.ac.uk/25784/ |