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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
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Is there an ideal in-sample length for forecasting volatility?
Kambouroudis, Dimos S.; McMillan, David G. - In: Journal of international financial markets, … 37 (2015), pp. 114-137
Persistent link: https://www.econbiz.de/10011475043
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Time-varying correlations and interrelations : firm-level-based sector evidence
Evans, P.; McMillan, David G.; McMillan, Fiona J. - In: The journal of asset management 18 (2017) 3, pp. 209-221
Persistent link: https://www.econbiz.de/10011704219
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A truly market-value weighted commodity index
Ludwig, Michael; McMillan, David G.; McMillan, Fiona J. - In: The journal of asset management 18 (2017) 3, pp. 222-242
Persistent link: https://www.econbiz.de/10011704229
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Spillovers between output and stock prices : a wavelet approach
McMillan, David G.; Tiwari, Aviral Kumar - In: Studies in economics and finance 33 (2016) 4, pp. 625-637
Persistent link: https://www.econbiz.de/10011722563
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Nonlinear predictability of stock market returns : evidence from nonparametric and threshold models
McMillan, David G. - In: International review of economics & finance : IREF 10 (2001) 4, pp. 353-368
Persistent link: https://www.econbiz.de/10001651410
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Present value model, bubbles and returns predictability : sector-level evidence
McMillan, David G. - In: Journal of business finance & accounting : JBFA 37 (2010) 5/6, pp. 668-686
Persistent link: https://www.econbiz.de/10008698689
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UK stock market predictability : evidence of time variation
McMillan, David G.; Wohar, Mark E. - In: Applied financial economics 23 (2013) 10/12, pp. 1043-1055
Persistent link: https://www.econbiz.de/10009772196
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A panel analysis of the stock return-dividend yield relation : predicting returns and dividend growth
McMillan, David G.; Wohar, Mark E. - In: The Manchester School 81 (2013) 3, pp. 386-400
Persistent link: https://www.econbiz.de/10009755542
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Stock return predictability and dividend-price ratio : a nonlinear approach
McMillan, David G.; Wohar, Mark E. - In: International journal of finance & economics : IJFE 15 (2010) 4, pp. 351-365
Persistent link: https://www.econbiz.de/10008811291