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Stock prices and demographic structure: A cointegration approach

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  • Bae, Youngsoo

Abstract

Using 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 Info

Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 107 (2010)
Issue (Month): 3 (June)
Pages: 341-344

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Handle: RePEc:eee:ecolet:v:107:y:2010:i:3:p:341-344

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Web page: http://www.elsevier.com/locate/ecolet

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Keywords: Stock price Demographic structure Unit root Cointegration;

References

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  1. Jamal, A. M. M. & Quayes, Shakil, 2004. "Demographic structure and stock prices," Economics Letters, Elsevier, Elsevier, vol. 84(2), pages 211-215, August.
  2. 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.
  3. Stock, James H & Watson, Mark W, 1993. "A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems," Econometrica, Econometric Society, Econometric Society, vol. 61(4), pages 783-820, July.
  4. Goyal, Amit, 2004. "Demographics, Stock Market Flows, and Stock Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, Cambridge University Press, vol. 39(01), pages 115-142, March.
  5. Choi, Chi-Young & Hu, Ling & Ogaki, Masao, 2008. "Robust estimation for structural spurious regressions and a Hausman-type cointegration test," Journal of Econometrics, Elsevier, Elsevier, vol. 142(1), pages 327-351, January.
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