Using a multivariate autoregressive framework, we have found a simple causal structure for the variables of interest q, s, r, and i, which is consistent with our data. As expected from the stock market efficiency hypothesis, q, the stock market one period holding rate of return, is exogenous...

Using a multivariate autoregressive framework, we have found a simple causal structure for the variables of interest q, s, r, and i, which is consistent with our data. As expected from the stock market efficiency hypothesis, q, the stock market one period holding rate of return, is exogenous...

Using a multivariate autoregressive framework, we have found a simple causal structure for the variables of interest q, s, r, and i, which is consistent with our data. As expected from the stock market efficiency hypothesis, q, the stock market one period holding rate of return, is exogenous...