Stock prices and demographic structure: A cointegration approach
AbstractUsing cointegration methods, I find a negative impact of the proportion of the population in the retirement age on stock prices in the US, but no positive impact of the proportion of the population in the prime earning age.
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Bibliographic InfoArticle provided by Elsevier in its journal Economics Letters.
Volume (Year): 107 (2010)
Issue (Month): 3 (June)
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Web page: http://www.elsevier.com/locate/ecolet
Stock price Demographic structure Unit root Cointegration;
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- Goyal, Amit, 2004. "Demographics, Stock Market Flows, and Stock Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 39(01), pages 115-142, March.
- Choi, Chi-Young & Hu, Ling & Ogaki, Masao, 2008. "Robust estimation for structural spurious regressions and a Hausman-type cointegration test," Journal of Econometrics, Elsevier, vol. 142(1), pages 327-351, January.
- Caballero, Ricardo J, 1994. "Small Sample Bias and Adjustment Costs," The Review of Economics and Statistics, MIT Press, vol. 76(1), pages 52-58, February.
- James H. Stock & Mark W. Watson, 1991.
"A simple estimator of cointegrating vectors in higher order integrated systems,"
Working Paper Series, Macroeconomic Issues
91-3, Federal Reserve Bank of Chicago.
- Stock, James H & Watson, Mark W, 1993. "A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems," Econometrica, Econometric Society, vol. 61(4), pages 783-820, July.
- Jamal, A. M. M. & Quayes, Shakil, 2004. "Demographic structure and stock prices," Economics Letters, Elsevier, vol. 84(2), pages 211-215, August.
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