Stock Market Capitalization to GDP, US

Source:
World Bank

Release:
Global Financial Development

Units:
Percent, Not Seasonally Adjusted

Frequency:
Annual

Available Through:
12/31/2017

Why Use:

Stock Market Capitalization to GDP describes the ratio of the value of the US stock market to the value of the total output of goods and services in the US. This is used to determine whether the overall market is undervalued or overvalued.

Suggested Treatment:

The data shows autocorrection, seasonality and a non-normal distribution. The data should be differenced and seasonally adjusted. While the Order Norm transformation, provides the best normality, the Untransformed variable will also perform well.

Grain Transformation:

Data is unable to be distributed by time or geography. The roll up method used is Weighted Average.

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Stock Market Capitalization to GDP, US

Auto Correction Function

Auto Correlation Function After Differencing

Partial Auto Correlation Function

Autocorrectation Analysis:

Data shows autocorrectation indicating a need for differencing

The ACF indicates 1 order differencing is appropriate.

Further differencing is reccommended

Trend Analysis:

The Kwiatkowski-Phillips-Schmidt-Shin (KPSS) test, KPSS Trend = 0.18 p-value = 0.02 indicates that the data is not stationary.

Distribution Analysis:

The Shapiro-Wilk test returned W = 0.74 with a p-value =0.00 indicating the data does not follow a normal distribution.

A skewness score of 0.06 indicates the data are fairly symmetrical.

Hartigan's dip test score of 0.15 with a p-value of 0.00 inidcates the data is multimodal

Statistics (Pearson P/ df, lower => more normal)

No transform
3.81
Box-cox
NA
Log_b(x-a)
5.07
sqrt(x+a)
4.41
exp(x)
NA
arcsinh(x)
4.88
Yeo-Johnson
4.88
OrderNorm
3.72

Data Notes:

2020 data is not currently available.

Citation:

World Bank, Stock Market Capitalization to GDP for United States [DDDM01USA156NWDB], retrieved from FRED, Federal Reserve Bank of St. Louis; https://fred.stlouisfed.org/series/DDDM01USA156NWDB, December 15, 2019.

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