On the Lead–Lag Relationship Between Market Capitalization Ratio and Per Capita Growth

  • Agnirup Sarkar
  • Abhirup SarkarEmail author


The paper looks at the short-to-medium term lead–lag relationship between stock market performance, as represented by market capitalization to GDP ratio and the performance of the real economy, as represented by per capita GDP growth. The lead–lag relationship is first established theoretically in an asset pricing framework with production and accumulation and then empirically by separately looking at lagged correlations, Granger causality and variance decomposition using data from 35 countries over the period 1988–2012.


Growth Market capitalization 


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© Springer Nature Singapore Pte Ltd. 2019

Authors and Affiliations

  1. 1.Indian Institute of Technology GuwahatiGuwahatiIndia
  2. 2.Indian Statistical Institute KolkataKolkataIndia

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