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Description

Variables
Country
Stock Market Volatility
Volatility of Real GDP
Growth Rate
Cash Flow Risk
Leverage Ratio
Billionaire Wealth/GDP
Gini Coefficient
Volatility of
Exchange Rate
Volatility of Inflation
Volatility of Fiscal Deficit/
GDP
Trade Openness:
(Exports+Imports)/GDP
Ratio of Stock Market
Capitalization/GDP
Stock Market Turnover/
Market Capitalization
Stock Exchange Age
Log of Number of Listed
Companies
Log of GDP per capita
Fraction of Time in Which
Insider Trading Law is
in Plac

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VariablesCountryStock Market VolatilityVolatility of Real GDPGrowth RateCash Flow RiskLeverage RatioBillionaire Wealth/GDPGini CoefficientVolatility of Exchange RateVolatility of InflationVolatility of Fiscal Deficit/GDPTrade Openness:(Exports+Imports)/GDPRatio of Stock MarketCapitalization/GDPStock Market Turnover/Market CapitalizationStock Exchange AgeLog of Number of ListedCompanies
Log of GDP per capitaFraction of Time in WhichInsider Trading Law isin PlaceFraction of Time Since theFirst Insider Trading ProsecutionInsider Trading IndexLegal Corruption Index
Description
Country name
Defined as the standard deviation of monthly returns over December 1984 to December 1998, multiplied by 100;
The monthly return in U.S. dollars is defined as the change in the log of the stock market index (in dollar terms).
Source: Morgan Stanley Capital International Dataset and Emerging Markets Database.Computed as the standard deviation of the annual real GDP growth rate over 1985-1998, multiplied by 100.Real GDP growth rate is the first difference in the log of GDP in 1995 constant U.S. dollars.Source: World Bank's World Development Indicators.Measures the variability of operating income.Defined as the standard deviation of the change in operating income relative to mean operating income in absolute value over tSource: Claessens, Djankov and Nenova (1999).Defined as the ratio of total debt to the sum of total debt and the market value of the equity.Source: Claessens, Djankov, and Nenova (1999).Defined as the ratio of the wealth of the billionaires (acquired through entrepreneurship or inheritance) relative to GDP, in 199Source: Forbes magazine, cited by Morck, Stangeland, and Yeung (1998).Measures the degree of inequality in income distribution. Average of the data from Barro-Lee dataset and those from World DReport (1998/99) issue.Defined as the standard deviation of the change in monthly log nominal exchange rate with respect to US$, multiplied by 100.The period is over 1985-98.Source: The nominal exchange rate is the monthly average exchange rate from the IMF’s International Financial Statistics.Defined as the standard deviation of the monthly inflation rate over January 1985 to December 1998.Inflation data is defined as the change in the log consumer price index, which is from the IMF’s IFS data base (line 64).Computed as the standard deviation of the annual ratio of the government budget deficit to GDP over 1985 to 1998.The data on the overall budget deficit/GDP are obtained from the World Bank's World Development Indicators CD Rom.The average value of (imports + exports)/GDP over the period of 1985-98.Source: World Bank's World Development Indicators CD Rom.Measures the developedness of stock market. Data are for the year of 1988.Source: World Bank's World Development Indicators CD Rom.Measures the turnover ratio of stock markets.Source: World Bank's World Development Indicators CD Rom.The age of the main stock exchange in each country is calculated as 1998 minus the founding year of the exchange.The data on the founding year of the exchange are obtained from Bhattacharya and Daouk (2002).Computed as the average number of listed companies during 1990-1996Source: the World Bank's World Development Report 2000 (Table 3).
GDP per capita is measured in 1995 constant U.S. dollars, averaged over 1985-1998.Source: World Bank's World Development Indicators CD Rom.Calculated as the fraction of the sample time that an insider trading law already exists for each country.Data on the year when an insider trading law is introduced are obtained from Bhattacharya and Daouk (2002).Calculated as the fraction of the sample time after the first insider trading prosecution is launched in each country.The data on the year of the first prosecution are extracted from Bhattacharya and Daouk (2002).The insider trading index is created from the question: “insider trading is not common in domestic stock markets”, 1=stronglyIt is rescaled by the following formula: new value = 8-srcinal value. We use the average of the values in 1997 and 1998.
As a result, a higher number implies more insider trading or legal corruption.
We re-scale the insider-trading index further by dividing it by its standard deviation in the sample.Source: Global Competitiveness Report (1998 and 1999).The legal corruption index is created from the question: “Irregular payments to judges or other officials involved in the enforceIt is re-scaled by the following formula: new value = 8-srcinal value. We use the value of 1997.As a result, a higher number implies more legal corruption.Source: Global Competitiveness Report (1998).

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