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Stock prices and economic activity nexus in OECD countries : new evidence from an asymmetric panel Granger causality test in the frequency domain
Yilanci, Veli; Ozgur, Onder; Gorus, Muhammed Sehid - In: Financial innovation : FIN 7 (2021), pp. 1-22
This study investigates the stock price-economic activity nexus in 12 member countries of the Organization for Economic Cooperation and Development (OECD) by employing monthly data over the period 1981:1-2018:3. For this purpose, the study uses Granger causality in the frequency domain in the...
Persistent link: https://www.econbiz.de/10012429266
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Dynamic linkages between the monetary policy variables and stock market in the presence of structural breaks : evidence from India
Moizz, Abdul; Akhtar, S. M. Jawed - In: Asian journal of economics and banking : AJEB 8 (2024) 3, pp. 391-411
estimation robustness. The Bai-Perron test is used to identify breakpoint dates for the Indian stock market index, and the … Granger Causality test is employed to ascertain the direction of causality. Findings - The F-bounds test reveals cointegration …
Persistent link: https://www.econbiz.de/10015163511
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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
cointegration to estimate the long-run relationship between G7 stock prices and macroeconomic variables over the last 40 years. We …
Persistent link: https://www.econbiz.de/10013179569
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Modelling high-frequency volatility and liquidity using multiplicative error models
Hautsch, Nikolaus (contributor);  … - 2008
In this paper, we study the dynamic interdependencies between high-frequency volatility, liquidity demand as well as trading costs in an electronic limit order book market. Using data from the Australian Stock Exchange we model 1-min squared mid-quote returns, average trade sizes, number of...
Persistent link: https://www.econbiz.de/10003727673
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Linkages between the US and European stock markets : a fractional cointegration approach
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2015
fractional integration and fractional cointegration techniques. These methods are more general and have higher power than the … both the S&P 500 Index and the Euro Stoxx 50 Index. Also, fractional cointegration appears to hold at least for the … diverging growth and monetary policy. Establishing whether the degree of cointegration has changed over time is important since …
Persistent link: https://www.econbiz.de/10011334455
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Linkages between the US and European stock markets : a fractional cointegration approach
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2015
fractional integration and fractional cointegration techniques. These methods are more general and have higher power than the … both the S&P 500 Index and the Euro Stoxx 50 Index. Also, fractional cointegration appears to hold at least for the … diverging growth and monetary policy. Establishing whether the degree of cointegration has changed over time is important since …
Persistent link: https://www.econbiz.de/10011343058
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The relation between monetary policy and the stock market in Europe
Lütkepohl, Helmut; Netšunajev, Aleksei - In: Econometrics : open access journal 6 (2018) 3, pp. 1-14
We use a cointegrated structural vector autoregressive model to investigate the relation between monetary policy in the euro area and the stock market. Since there may be an instantaneous causal relation, we consider long-run identifying restrictions for the structural shocks and also used...
Persistent link: https://www.econbiz.de/10011887655
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The relation between monetary policy and the stock market in Europe
Lütkepohl, Helmut; Netšunajev, Aleksei - 2018
We use a cointegrated structural vector autoregressive model to investigate the relation between euro area monetary policy and the stock market. Since there may be an instantaneous causal relation we consider long-run identifying restrictions for the structural shocks and also use (conditional)...
Persistent link: https://www.econbiz.de/10011810177
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Stock market linkages between the ASEAN countries, China and the US : a fractional cointegration approach
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; You, Kefei - 2019
monthly) are analysed using fractional integration and fractional cointegration methods. Further, recursive cointegration … exhibit long memory. There is cointegration between the ASEAN five and the US but almost none between the former and China …
Persistent link: https://www.econbiz.de/10011982404
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Stock market returns and GDP growth
Fichtner, Ferdinand; Joebges, Heike - 2024 - This version: 2023-10-06
The existing econometric evidence on the relationship between stock indices and real economic activity is inconclusive despite theoretical arguments suggesting a long-term relationship. Previous studies indicate that the link between stock prices and growth became weaker in the 1980s. In this...
Persistent link: https://www.econbiz.de/10014450571