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Theoretical and Applied Economics
No. 9 / 2013 (586)

Do investors consider composite leading indicators? Time series evidence from emerging countries

Mert TOPCU
Nevsehir University, Faculty of Economics and Administrative Sciences, Turkey
Ulas UNLU
Nevsehir University, Vocational High School, Turkey

Abstract. The nexus between macroeconomic indicators and stock market has been worthy of examination in emerging markets in the recent years. This paper therefore aims to investigate the long run and causal relationship between Composite Leading Indicators (CLI) and share prices in the thirteen emerging markets. Findings obtained from the analyses do not provide consistent results across all emerging markets. Empirical evidences of this study indicate that component structure of CLI and financial development level of questioned countries appears to play important role in determining the effectiveness of CLI in investors’ decisions.

Keywords: share prices; composite leading indicators; emerging markets.

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Marin Dinu

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