Market Cap to GDP is a long-term valuation indicator for stocks. It has become popular in recent years, thanks to Warren Buffett. Back in 2001 he remarked in a Fortune Magazine interview that "it is probably the best single measure of where valuations stand at any given moment."
The chart in the ratio above divides the Wilshire 5000 index by the US GDP. The Wilshire 5000 Index is widely accepted as the definitive benchmark for the U.S. equity market and is intended to measure the total market capitalization of most publicly traded companies headquartered in the United States.
The original measure for 'market cap' is 'Market Value of Equities Outstanding', which gets published quarterly by the Federal Reserve. Therefore, it is always lagging a bit behind the Wilshire 5000. On the upside, it has data going back to the 1940s, thereby providing a more historical perspective. Including this data leads to a lower mean average.
In contrast to the Wilshire 5000, the Dow Jones only contains 30 publicly traded companies. The index is price-weighted, so stocks with a higher share price are given greater weight. For these reasons, it is not as accurate as the Wilshire 5000 for measuring the market capitalization. However, all these ratios look very similar - and since the Dow Jones is one of the oldest indexes, this ratio goes back to 1790.
For comparison purposes the S&P 500 to GDP ratio is shown here as well. The S&P 500 consists of 500 large US companies. Just like the Wilshire 5000, it is a capitalization-weighted Index. It captures approximately 80% of the available total market capitalization.
For these reasons, it's a much better measure for 'market cap' than the Dow Jones.
Update: The S&P 500 is just a proxy for the total value of all US publicly-traded equities. According to this paper (page A41), the US market cap to gdp ratio in the late 1800's was around 50%, which is a third of what it was during the Dot-com bubble of 2000.
As mentioned above, the S&P 500 captures approximately 80% of available market capitalization. Therefore it is quite representative of the entire stock market. Intuitively, the stock market and the overall economy should grow with a similar pace.
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