Financial Markets and International Risk Sharing

Table 3: Cyclicality of capital gains on domestic financial market

Notes:

The explanatory variable is the cumulate real GDP growth rate; the dependent variables are the
cumulative real rates of returns and capital gains, respectively, over five years. 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). ***, **, * denote significance at the 1, 5 and 10 percent levels respectively. Full
regression outputs are available upon request.

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