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Aggregate Consumption Spending, the Stock Market, and Asymmetric Error Correction
Stevans, Lonnie K. - 2011
In this study, we show how changes in wealth resulting from unanticipated changes in the value of equity holdings begin a process whereby households alter consumption growth in order to close the gap between actual and target spending. Because of changing uncertainty or equity price volatility...
Persistent link: https://www.econbiz.de/10014059425
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Analysis of sectors on Nigeria stock market : evidence from correlation, serial correlation, and heteroscedasticity
Emenike, Kalu O. - In: Journal of contemporary economic and business issues 4 (2017) 2, pp. 21-36
The objective of this paper is to evaluate the behaviour of Nigerian Stock Exchange (NSE) sector indices. Specifically, the paper analyzes the returns correlation, serial correlation and heteroscedasticity on the NSE All-share Index, Banking Index, Consumer Goods Index, Oil & Gas Index, NSE 30...
Persistent link: https://www.econbiz.de/10011862130
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How reliable are cointegration-based estimates for wealth effects on consumption? : evidence from Switzerland
Galli, Alain - 2016
Persistent link: https://www.econbiz.de/10011456230
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How reliable are cointegration-based estimates for wealth effects on consumption? : Evidence from Switzerland
Galli, Alain - In: Swiss journal of economics and statistics 153 (2017) 4, pp. 437-479
Persistent link: https://www.econbiz.de/10011845257
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A cointegration analysis of agricultural, energy and bio-fuel spot and futures prices
Allen, David E.; Chang, Chia-Lin; McAleer, Michael; … - 2016
This paper features an analysis of the cointegration relationships among agricultural commodity, ethanol and Cushing … cointegration and Markov-switching VECM and Impulse Response Analysis, confirms that these markets have significant linkages which …
Persistent link: https://www.econbiz.de/10011479769
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The present value model of U.S. stock prices revisited : long-run evidence with structural breaks, 1871-2012
Esteve García, Vicente; Navarro Ibáñez, Manuel; … - 2017
regression models, 2010) as well as the cointegration tests developed in Arai and Kurozumi (Testing for the null hypothesis of … cointegration with a structural break, 2007) and Kejriwal (Cointegration with structural breaks: an application to the Feldstein …- Horioka Puzzle, 2008). The results obtained are consistent with the existence of linear cointegration between the log stock …
Persistent link: https://www.econbiz.de/10011745419
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Periodic Integration and Cointegration of U.S. Stock Prices, Dividends, and Interest Rates : A New Test of the Present Value Model
Shirwani, Hassan; Delcoure, Natalya; Wilbratte, Barry J. - 2012
these variables. This means that the conventional cointegration tests may not be robust. Using a more appropriate periodic … cointegration test, our results nevertheless fail to support the present value model, thus reinforcing the case against the …
Persistent link: https://www.econbiz.de/10014043638
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Impact of Khartoum Stock Exchange market performance on economic growth : an autoregressive distributed lag ARDL bounds testing model
Elhassan, Tomader; Braima, Bakhita - In: Economies : open access journal 8 (2020) 4/86, pp. 1-16
This study examines the impact of the Khartoum Stock Exchange market performance on economic growth in Sudan from Q1 1995 to Q4 2018. The data were collected from the Central Bank of Sudan (CBS) and Khartoum Stock Exchange (KSE). The autoregressive distributed lag (ARDL) bounds test was applied...
Persistent link: https://www.econbiz.de/10012311623
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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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High and low prices and the range in the European stock markets : a long-memory approach
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Poza, Carlos - 2019
This paper uses fractional integration techniques to examine the stochastic behaviour of high and low stock prices in Europe and then to test for the possible existence of long-run linkages between them by looking at the range, i.e., the difference between the two logged series. Specifically,...
Persistent link: https://www.econbiz.de/10012022262