Financial Markets and International Risk Sharing

Table 1: Cyclicality of capital gains on domestic stock market

Notes:

The explanatory variable is the real GDP growth rate. See text for definitions of all variables.
Estimation by generalised least squares with AR(1) correlated disturbances, heteroskedasticity
robust standard errors (in parentheses) and involving country fixed effects ((1) and (3)) and
country and time fixed effects ((2) and (4)), Time period: 1973-2006. Data availability varies by
country. ***, **, * denote significance at the 1, 5 and 10 percent levels respectively. Full regression
outputs are available upon request.

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