Granger Causality Tests of Stock Returns: The US and Japanese Stock Markets

This article uses Granger‐causality tests to study the dynamic relationship between stock returns and dividend yields in the American and Japanese equity markets. The “signaling” hypothesis of dividends along with the efficient market hypothesis is considered to : a) explain the strong relationship between stock returns and the determinants of stock prices, b) show that our results cannot be considered as evidence against market efficiency.

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Year of publication:	2000
Authors:	Mavrides, Marios
Published in:	Managerial Finance. - MCB UP Ltd, ISSN 1758-7743, ZDB-ID 2047612-7. - Vol. 26.2000, 12, p. 13-25
Publisher:	MCB UP Ltd
Subject:	Stock markets \| Interest rates \| Japan \| USA

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Type of publication:	Article
Type of publication (narrower categories):	research-article
Language:	English
Other identifiers:	10.1108/03074350010767016 [DOI]
Source:	Other ZBW resources

Persistent link: https://www.econbiz.de/10014939538