The long-run relationship between stock prices and goods prices: New evidence from panel cointegration
AbstractWe examine the long-run relationship between stock prices and goods prices to gauge whether stock market investment can hedge against inflation. Data from 16 OECD countries over the period 1970-2006 are used. We account for different inflation regimes with the use of sub-sample regressions, while maintaining the power of tests in small sample sizes by combining time-series data across our sample countries in a panel unit root and panel cointegration econometric framework. The evidence supports a positive long-run relationship between goods prices and stock prices with the estimated goods price coefficient being in line with the generalized Fisher hypothesis.
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of International Financial Markets, Institutions and Money.
Volume (Year): 20 (2010)
Issue (Month): 2 (April)
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Stock prices Good prices Panel cointegration;
Other versions of this item:
- Gregoriou, Andros & Kontonikas, Alexandros, 2008. "The long run relationship between stock prices and goods prices: new evidence from panel cointegration," SIRE Discussion Papers 2008-32, Scottish Institute for Research in Economics (SIRE).
- Andros Gregoriou & Alexandros Kontonikas, . "The Long Run Relationship Between Stock Prices And Goods Prices: New Evidence From Panel Cointegration," Working Papers 2008_19, Business School - Economics, University of Glasgow.
- C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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