Data and Code for: A Global Version of Samuelson's Dictum

Principal Investigator(s): View help for Principal Investigator(s) Hongjun Yan, DePaul University; Jinfan Zhang, Chinese University of Hong Kong (Shenzhen); Yaqing Xiao, Capital University of Economics and Business

Version: View help for Version V1

Name	File Type	Size	Last Modified
replication			09/16/2021 02:56:PM

Project Citation:

Yan, Hongjun, Zhang, Jinfan, and Xiao, Yaqing. Data and Code for: A Global Version of Samuelson’s Dictum. Nashville, TN: American Economic Association [publisher], 2022. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2022-05-25. https://doi.org/10.3886/E147241V1

Project Description

Summary: Samuelson’s Dictum refers to the conjecture that there is more informational inefficiency at the aggregate stock market level than at the individual stock level. Our paper recasts it in a global setup: there should be more informational inefficiency at the global level than at the country level. We find that sovereign CDS spreads can predict future stock market index returns, GDP, and PMI of their underlying countries. Consistent with the global version of Samuelson’s Dictum, the predictive power for both stock returns and macro variables is almost entirely from the global, rather than country-specific, information from the sovereign CDS market.

Funding Sources: National Natural Science Foundation of China (72003135)); National Natural Science Foundation of China (71733004); Capital University of Economics and Business (XRZ2020035)

Scope of Project

Subject Terms: Samuelson’s Dictum; Sovereign CDS; Efficiency

JEL Classification:
G12 Asset Pricing; Trading Volume; Bond Interest Rates

Geographic Coverage: Global

Time Period(s): 2001 – 2015

Collection Date(s): 2015 – 2021

Data Type(s): administrative records data; aggregate data; event/transaction data

Methodology

Data Source: Various

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Published Versions

V1 [2022-05-25]

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