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      Do stock index futures affect economic growth? Evidence from 32 countries

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      Author(s)
      Yüncü, İ. Ş
      Akdeniz, Levent
      Aydoğan, Kürşat
      Date
      2017-12-29
      Source Title
      Emerging Markets Finance and Trade
      Print ISSN
      1540-496X
      Electronic ISSN
      1558-0938
      Publisher
      Routledge
      Volume
      54
      Issue
      2
      Pages
      410 - 429
      Language
      English
      Type
      Article
      Item Usage Stats
      138
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      158
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      Abstract
      This article investigates the relationship between stock index futures markets development and economic growth using time-series methods for 32 developed and developing countries. Evidence of cointegration between stock index futures and real economy in 29 countries suggests the presence of co-movements among the variables, indicating long-run stationarity in those countries. Our findings show that there is Granger-causality from stock index futures markets development to economic growth for middle-income countries with relatively low real per capita GDP, and Granger-causality in the reverse direction for the countries with high real per capita GDP. Variance decomposition and impulse-response function (IRF) analyses results support the existence of a relationship between stock index futures and real economy. Copyright
      Keywords
      Economic growth
      Financial development
      Stock index futures
      Permalink
      http://hdl.handle.net/11693/50104
      Published Version (Please cite this version)
      https://doi.org/10.1080/1540496X.2016.1247348
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      • Department of Management 579
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