Dynamics between stock market movements and fiscal policy: Empirical evidence from emerging Asian economies
Pro-cyclical fiscal policy has raised concern in many emerging economies due to its adverse consequences to the economic activities. This paper takes a different approach to the issue, which aims to examine the bidirectional relationships between fiscal policy and stock market activities, using a pa...
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| Published in: | Pacific-Basin finance journal Vol. 51; pp. 65 - 74 |
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| Main Authors: | , , |
| Format: | Journal Article |
| Language: | English |
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Elsevier B.V
01-10-2018
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| Abstract | Pro-cyclical fiscal policy has raised concern in many emerging economies due to its adverse consequences to the economic activities. This paper takes a different approach to the issue, which aims to examine the bidirectional relationships between fiscal policy and stock market activities, using a panel of 12 emerging Asia-Pacific economies from 1990 to 2015. We estimate a variety of Panel Vector Autoregressive models to test for the consistence of the results. The empirical results show that fiscal policies in these countries tend to a pro-cyclical path in responding to stock market movements. The pro-cyclical behavior is found with both government expenditure and government revenue. On the other hand, a fiscal consolidation attempt has a rewarding effect on stock prices.
•Confirm the bidirectional relationship between stock return and fiscal policy•Pro-cyclical fiscal policy with respect to stock market movements•Both government expenditure and government revenue are pro-cyclical.•A fiscal consolidation attempt has a rewarding effect on stock prices. |
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| AbstractList | Pro-cyclical fiscal policy has raised concern in many emerging economies due to its adverse consequences to the economic activities. This paper takes a different approach to the issue, which aims to examine the bidirectional relationships between fiscal policy and stock market activities, using a panel of 12 emerging Asia-Pacific economies from 1990 to 2015. We estimate a variety of Panel Vector Autoregressive models to test for the consistence of the results. The empirical results show that fiscal policies in these countries tend to a pro-cyclical path in responding to stock market movements. The pro-cyclical behavior is found with both government expenditure and government revenue. On the other hand, a fiscal consolidation attempt has a rewarding effect on stock prices.
•Confirm the bidirectional relationship between stock return and fiscal policy•Pro-cyclical fiscal policy with respect to stock market movements•Both government expenditure and government revenue are pro-cyclical.•A fiscal consolidation attempt has a rewarding effect on stock prices. |
| Author | BUI, Duy-Tung BUI, Thi Mai Hoai LLORCA, Matthieu |
| Author_xml | – sequence: 1 givenname: Duy-Tung orcidid: 0000-0002-5407-4342 surname: BUI fullname: BUI, Duy-Tung email: tungbd@ueh.edu.vn organization: University of Economics Ho Chi Minh City, School of Public Finance, 59C Nguyen Dinh Chieu, Ward 6, District 3, Ho Chi Minh City, Viet Nam – sequence: 2 givenname: Matthieu surname: LLORCA fullname: LLORCA, Matthieu email: Matthieu.Llorca@u-bourgogne.fr organization: University of Bourgogne Franch-Comté, Laboratoire d'Economie de Dijon, EA 7467, 2 boulevard Gabriel, BP 26611, 21066 Dijon, Cedex, France – sequence: 3 givenname: Thi Mai Hoai surname: BUI fullname: BUI, Thi Mai Hoai email: maihoai@ueh.edu.vn organization: University of Economics Ho Chi Minh City, School of Public Finance, 59C Nguyen Dinh Chieu, Ward 6, District 3, Ho Chi Minh City, Viet Nam |
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| Keywords | Fiscal policy PVAR Financial market Stock market Emerging markets |
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| Title | Dynamics between stock market movements and fiscal policy: Empirical evidence from emerging Asian economies |
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