|
______________T able 2: Cyclicality of capital gains on domestic stock market______________ | ||||
|
Dependent Variable | ||||
|
____________Domestic Currency__________ |
_______________US Dollar__________________ | |||
|
(1) |
(2) |
(3) |
(4) | |
|
Real rate of |
Deviation of rate |
Real rate of |
Deviation of rate | |
|
capital gains on |
of capital gains on |
capital gains on |
of capital gains on | |
|
domestic |
domestic stock market |
domestic |
domestic stock market | |
|
stock market |
from global stock market |
stock market |
from global stock market | |
|
Australia |
5.28 |
2.13 |
4.85 |
1.37 |
|
(1.74)*** |
(2.60) |
(1.99)** |
(2.65) | |
|
Austria |
-1.24 |
-7.09 |
-0.85 |
-8.43 |
|
(2.41) |
(5.28) |
(2.84) |
(6.67) | |
|
Canada |
1.71 |
0.44 |
1.34 |
-0.43 |
|
(1.00)* |
(1.51) |
(1.19) |
(1.36) | |
|
Denmark |
0.65 |
-3.23 |
1.71 |
-3.05 |
|
(2.87) |
(1.90)* |
(2.23) |
(1.92)* | |
|
Finland |
3.59 |
5.61 |
4.41 |
5.09 |
|
(2.35) |
(2.34)** |
(2.04)** |
(2.32)** | |
|
France |
4.97 |
-2.44 |
5.21 |
-1.99 |
|
(3.65) |
(2.88) |
(3.89) |
(2.79) | |
|
Germany |
3.08 |
-0.26 |
1.18 |
-0.23 |
|
(5.00) |
(1.91) |
(2.53) |
(1.97) | |
|
Greece |
0.65 |
0.51 |
2.68 |
0.69 |
|
(7.02) |
(8.04) |
(7.41) |
(8.01) | |
|
Italy |
1.88 |
-1.38 |
1.73 |
-0.79 |
|
(2.70) |
(2.24) |
(2.79) |
(2.14) | |
|
Ireland |
-2.14 |
-1.59 |
0.20 |
-0.23 |
|
(1.24) |
(1.46) |
(1.91) |
(1.55) | |
|
Japan |
2.31 |
-0.57 |
2.13 |
-0.68 |
|
(1.79) |
(1.89) |
(2.23) |
(1.84) | |
|
Netherlands |
3.69 |
1.68 |
3.75 |
1.91 |
|
(1.96)* |
(1.36) |
(1.66)** |
(1.28) | |
|
New |
0.92 |
3.25 |
3.64 |
3.52 |
|
Zealand |
(1.63) |
(1.50)** |
(2.36) |
(1.47)** |
|
Norway |
4.26 |
-1.03 |
2.86 |
-1.09 |
|
(3.62) |
(2.27) |
(3.40) |
(2.07) | |
|
Portugal |
0.09 |
-0.31 |
1.28 |
-0.56 |
|
(0.07) |
(1.82) |
(2.05) |
(1.84) | |
|
Spain |
-0.39 |
1.51 |
1.10 |
1.79 |
|
(3.95) |
(2.79) |
(3.57) |
(2.54) | |
|
Sweden |
5.05 |
3.09 |
6.34 |
2.89 |
|
(2.43)*** |
(1.65)* |
(1.76)*** |
(1.63)** | |
|
Switzerland |
1.65 |
-1.79 |
1.22 |
-1.37 |
|
(2.09) |
(1.73) |
(2.24) |
(1.79) | |
|
UK |
-0.44 |
-3.71 |
0.28 |
-3.90 |
|
(2.57) |
(0.80)*** |
(2.65) |
(0.75)*** | |
|
US |
2.51 |
-1.83 |
2.51 |
-1.83 |
|
(1.45)* |
(0.59)*** |
(1.45)* |
(0.59)*** | |
Notes:
The explanatory variables are the real GDP growth rate ((1) and (3)) and the deviation of the real domestic GDP
growth rate from global GDP growth ((2) and (4)), respectively. See text for definitions of all variables. Estimation
by generalised least squares with AR(1) correlated disturbances and semi-robust standard errors (in parentheses).
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.
14
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