Table 1 Overview of the literature review
References | Period | Country(s) | Variables | Method(s) | Results |
|---|---|---|---|---|---|
Lee (1992) | 1947M1–1987M12 | The United States | Stock returns, industrial production growth rate, interest rate, inflation rate | Granger Causality Test | SM → EA |
Choi et al. (1999) | 1957–1996 | G7 countries | Industrial production, stock price index | Granger Causality Test based on ECM | SM → EA except for Italy |
Binswanger (2000) | 1953–1995 1953–1965 1984–1995 | The United States | Stock returns, production growth rate, GDP growth rate | Granger Causality Test | SM—EA for the period 1984–1995 |
Hassapis and Kalyvitis (2002) | ranges from 1949 to 1998 | G7 countries | Stock returns, industrial production growth rate | Granger Causality Test | Mixed results |
Kim and In (2003) | 1959M1–2001M5 | The United States | Stock price index, industrial production index | Wavelet Analysis | SM → EA at the lower frequencies |
Caporale et al. (2004) | 1977Q1–1998Q4 | Argentina, Chile, Greece, Korea, Malaysia, Philippines, Portugal | Stock market development, financial development, economic growth | Granger Causality Test based on Toda-Yamamoto approach | Stock market development → EA for Chile, Greece, Malaysia, Philippines |
Duca (2007) | ranges from 1957 to 2005 | The United States, Japan, France, Germany, the United Kingdom | Stock market index, GDP | Granger Causality Test | SM → EA except for Germany |
Kaplan (2008) | 1987Q1–2006Q4 | Turkey | Stock market index, GDP | Granger Causality Test | SM → EA |
Liu and Sinclair (2008) | ranges from 1967 to 2003 | Greater China: China, Hong Kong, Taiwan | GDP, stock price index | Granger Causality Test based on VECM | EA → SM in the long-run, SM → EA in the short-run |
Panopoulou (2009) | 1988M1–2005M5 | 12 Euro area countries | Financial variables, output growth | Non-parametric Causality Test | SM → EA approximately half the euro area countries |
Tsouma (2009) | 1991M1–2006M12 | 22 mature, 19 emerging markets | Stock price index, industrial production index, consumer price index | Granger Causality Test | SM → EA for most of the countries |
Henry et al. (2010) | 1946M7–2004M6 | The United States | Industrial production index, stock returns | Asymmetric BEKK approach | SM → EA |
Lyócsa et al. (2011) | 1996Q1–2009Q4 | Poland, the Czech Republic, Hungary, Slovakia | Stock indices, economic activity | Granger Causality Test based on Toda-Yamamoto approach, Granger Causality Test | SM → EA in the Czech Republic and Poland |
Croux and Reusens (2013) | 1991Q1–2010Q2 | G7 countries | Stock price index, GDP | Panel Granger causality test in the frequency domain | SM → EA at slowly fluctuating components |
Pradhan et al. (2014) | 1961–2012 | 26 ASEAN Regional Forum countries | Economic growth, banking sector development, stock market development, FDI, trade openness, inflation rate, government spending | Granger Causality Test based on Panel VECM | Stock market development → EA for all ARF countries in the short-run |
Pradhan et al. (2015a) | 1961–2012 | G20 countries | Economic growth, oil prices, stock market depth, exchange rate, inflation rate, interest rate | Granger Causality Test based on Panel VECM | Market capitalization → EA, EA → Turnover ratio, Traded stocks ↔ EA in the short-run |
Pradhan et al. (2015b) | 1988–2012 | 34 OECD countries | Economic growth, insurance market development, financial development | Granger Causality Test based on Panel VECM | Financial development ↔ EA |
Tiwari et al. (2015) | 1993M4–2011M1 | India | Share prices, industrial index of production, exogenous macroeconomic series | Frequency Domain Causality Test | SM → EA for frequencies less than 0.4 |
Pradhan et al. (2017) | 1991–2011 | 17 ASEAN Regional Forum countries | Economic growth, banking sector development, stock market development, bond market development, insurance market development | Granger Causality Test based on Panel VECM | Composite index of stock market development ↔ EA in the short-run |
Ciner (2018) | 1950M1–2017M1 | The United States | Industrial production index, stock market returns | Time-Varying Causality Test | SM—EA |
Yang et al. (2018) | 2003M1–2015M9 | Korea Republic | Inflation, stock return, industrial production index, exchange rate, interest rate | Granger Causality Test based on SVAR | SM → EA |
Thach et al. (2019) | 2005M1–2017M11 | Vietnam | Industrial production index, stock prices | Frequency Domain Causality Test | EA → SM at lower frequencies, SM → EA at higher frequencies |
Kassouri and Altıntaş (2020) | 2003M1–2018M12 | Turkey | stock prices, industrial production, exchange rate, interest rate, money supply | Frequency Domain Causality Test | EA → SM at various frequencies |
Wang et al. (2020) | 2011–2018 (daily) | China | Daily returns | Frequency Domain Causality Test | Interconnected returns for high frequencies |