Similar Search Results

Macroeconomic variables and long-term stock market performance : a panel ARDL cointegration approach for G7 countries

Humpe, Andreas; McMillan, David G. - In: Cogent economics & finance 8 (2020) 1, pp. 1-7

Based on the present value model for stock prices, we utilise a pooled mean group estimator for panel ARDL cointegration to estimate the long-run relationship between G7 stock prices and macroeconomic variables over the last 40 years. We find a positive long-run relation between stock prices,...

Persistent link: https://www.econbiz.de/10013179569

Macroeconomic variables and long-term stock market performance: A panel ARDL cointegration approach for G7 countries

Humpe, Andreas; McMillan, David G. - In: Cogent Economics & Finance 8 (2020) 1, pp. 1-7

Persistent link: https://www.econbiz.de/10014001574

Asymmetric risk premium in value and growth stocks

Black, Angela J.; McMillan, David G. - In: International review of financial analysis 15 (2006) 3, pp. 237-246

Persistent link: https://www.econbiz.de/10003348583

Financial co-movement and correlation : evidence from 33 international stock market indices

Evans, Twm; McMillan, David G. - In: International journal of banking, accounting and finance 1 (2008) 3, pp. 215-241

Persistent link: https://www.econbiz.de/10003838060

Efficiency of the South African equity market

McMillan, David G.; Thupayagale, Pako - In: Applied financial economics letters 4 (2008) 4/6, pp. 327-330

Persistent link: https://www.econbiz.de/10003807719

Asymmetric return patterns : evidence from 33 international stock market indices

Evans, Twm; McMillan, David G. - In: Applied economics letters 16 (2009) 7/9, pp. 775-779

Persistent link: https://www.econbiz.de/10003854963

Are RiskMetrics forecasts good enough? : evidence from 31 stock markets

McMillan, David G.; Kambouroudis, Dimos - In: International review of financial analysis 18 (2009) 3, pp. 117-124

Persistent link: https://www.econbiz.de/10003880020

Bubbles in the dividend-price ratio? : evidence from an asymmetric exponential smooth-transition model

McMillan, David G. - In: Journal of banking & finance 31 (2007) 3, pp. 787-804

Persistent link: https://www.econbiz.de/10003429782

Volatility forecasts : the role of asymmetric and long-memory dynamics and regional evidence

Evans, Twm; McMillan, David G. - In: Applied financial economics 17 (2007) 16/18, pp. 1421-1430

Persistent link: https://www.econbiz.de/10003605849

Volatility persistence, long memory and structural breaks in an emerging equity market : the case of South Africa

McMillan, David G.; Thupayagale, Pako - In: Asian African journal of economics and econometrics 10 (2010) 2, pp. 297-310

Persistent link: https://www.econbiz.de/10009007476