Similar Search Results

The Long Memory of Equity Volatility and the Macroeconomy : International Evidence

Dräger, Lena - 2020

This paper examines long memory volatility in international stock markets. We show that long memory volatility is … memory in volatility than emerging and frontier countries and that stock market jumps are negatively correlated with long … memory of volatility. Overall, our results provide some evidence of a link between stock market uncertainty and macroeconomic …

Persistent link: https://www.econbiz.de/10012853413

Nexus between Stock Price Volatility and Selected Macroeconomic Variables : Evidence from Nifty 50

Karthika, Dr. P. - 2017

India is taken into account a high potential investment destination all-over the world even though it has some … affecting the Indian stock market volatility. There is a general belief on macroeconomic variable affects the functioning of … stock market and its volatility (PallaviKudal 2010). In developing countries like India stock markets are sensitive to …

Persistent link: https://www.econbiz.de/10012950238

When and Why Do Stock and Bond Markets Predict Economic Growth?

McMillan, David G. - 2019

We consider whether key financial variables predict macroeconomic series and if any predictive power for output growth is also seen in consumption or investment growth. Such information will allow the use of financial markets as a leading indicator for macroeconomic performance. Full sample...

Persistent link: https://www.econbiz.de/10012860534

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

Equity Valuation Cannot Outgrow the Economy Over the Long Run

Han, JC - 2016

Persistent link: https://www.econbiz.de/10012991589

Using Sentiment Surveys to Predict GDP Growth and Stock Returns

Guzman, Giselle - 2012

This study sheds new light on the question of whether or not sentiment surveys, and the expectations derived from them, are relevant to forecasting economic growth and stock returns, and whether they contain information that is orthogonal to macroeconomic and financial data. I examine 16...

Persistent link: https://www.econbiz.de/10013110732

Predicting GDP Growth with Stock and Bond Markets : Do They Contain Different Information?

McMillan, David G. - 2019

This paper examines the ability of bond and stock markets to predict subsequent GDP growth over a range of horizons for twelve international countries. The results, using linear, probit, time- and regime-varying in-sample regressions and out-of-sample forecasting, confirm the view that both...

Persistent link: https://www.econbiz.de/10012891593

Skewness in Expected Macro Fundamentals and the Predictability of Equity Returns : Evidence and Theory. Online Appendix

Colacito, Ric - 2015

This paper provides robustness checks and analytical derivations to supplement the material presented in the paper Skewness in Expected Macro Fundamentals and the Predictability of Equity Returns: Evidence and Theory.The paper to which these Appendices apply is available at the following URL:...

Persistent link: https://www.econbiz.de/10013025168

Skewness in Expected Macro Fundamentals and the Predictability of Equity Returns : Evidence and Theory

Colacito, Ric - 2015

We document that the first and third cross-sectional moments of the distribution of GDP growth rates made by professional forecasters can predict equity excess returns, a finding which is robust to controlling for a large set of well established predictive factors. We show that introducing...

Persistent link: https://www.econbiz.de/10013036192

Does Money Supply Growth Contain Predictive Power for Stock Returns? Evidence and Explanation

McMillan, David G. - 2015

We examine the nature of predictive power of money supply growth for stock returns. An understanding of which would be useful for market practitioners and policy makers given the current lack of consensus. In addition, knowledge of this relationship can aid our understanding of the risk and cash...

Persistent link: https://www.econbiz.de/10013032530

1
2
3
4
5
6
7
8
9
10
Next
Last