Journal ArticleDOI
Stock prices and domestic and international macroeconomic activity: a cointegration approach
Alireza Nasseh,Jack Strauss +1 more
TLDR
In this article, the existence of a significant, long-run relationship between stock prices and domestic and international economic activity in six European economies has been investigated using the Johansen Cointegration tests.About:
This article is published in The Quarterly Review of Economics and Finance.The article was published on 2000-06-01. It has received 297 citations till now. The article focuses on the topics: Stock market bubble & Cost price.read more
Citations
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Relationship between Macroeconomic Variables and Stock Market Indices: Cointegration Evidence from Stock Exchange of Singapore's All-S Sector Indices
TL;DR: In this paper, the authors examined the long-term equilibrium relationship between selected macroeconomic variables and the Singapore stock market index (STl), as well as with various Singapore Exchange Sector indices-the finance index, the property index, and the hotel index.
Journal ArticleDOI
Can Macroeconomic Variables Explain Long Term Stock Market Movements? A Comparison of the US and Japan
Andreas Humpe,Peter Macmillan +1 more
TL;DR: In this article, a cointegration analysis is applied to model the long term relationship between industrial production, the consumer price index, money supply, long term interest rates and stock prices in the US and Japan.
Journal ArticleDOI
Can macroeconomic variables explain long-term stock market movements? A comparison of the US and Japan
Andreas Humpe,Peter Macmillan +1 more
TL;DR: In this article, a cointegration analysis is applied to model the long-term relationship between industrial production, the consumer price index, money supply, longterm interest rates and stock prices in the US and Japan.
Journal ArticleDOI
Wavelet analysis of stock returns and aggregate economic activity
TL;DR: The results show that stock market returns tend to lead the level of economic activity, but only at the highest scales (lowest frequencies) corresponding to periods of 16 months and longer, and that the leading period increases as the wavelet time scale increases.
Journal ArticleDOI
Co-movement of international crude oil price and Indian stock market: Evidences from nonlinear cointegration tests
Sajal Ghosh,Kakali Kanjilal +1 more
TL;DR: In this paper, the authors explored nonlinear cointegration between international crude oil price and Indian stock market in a multivariate framework for the period January 2, 2003 to July 29, 2011 by threshold co-integration tests which determine the structural breaks endogenously.
References
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Statistical analysis of cointegration vectors
TL;DR: In this paper, the authors consider a nonstationary vector autoregressive process which is integrated of order 1, and generated by i.i.d. Gaussian errors, and derive the maximum likelihood estimator of the space of cointegration vectors and the likelihood ratio test of the hypothesis that it has a given number of dimensions.
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Macroeconomics and reality
TL;DR: In this article, the authors argue that the style in which their builders construct claims for a connection between these models and reality is inappropriate, to the point at which claims for identification in these models cannot be taken seriously.
Estimation and hypothesis testing of cointegration vectors in Gaussian vector autoregressive models / Søren Johansen
TL;DR: In this paper, the authors present the likelihood methods for the analysis of cointegration in VAR models with Gaussian errors, seasonal dummies, and constant terms, and show that the asymptotic distribution of the maximum likelihood estimator is mixed Gausssian.
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Estimation and hypothesis testing of cointegration vectors in gaussian vector autoregressive models
TL;DR: In this article, the authors derived the likelihood analysis of vector autoregressive models allowing for cointegration and showed that the asymptotic distribution of the maximum likelihood estimator of the cointegrating relations can be found by reduced rank regression and derives the likelihood ratio test of structural hypotheses about these relations.
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Economic Forces and the Stock Market
TL;DR: In this paper, the authors test whether innovations in macroeconomic variables are risks that are rewarded in the stock market, and they find that these sources of risk are significantly priced and neither the market portfolio nor aggregate consumption are priced separately.