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Are stock and bond prices collinear in the long run?

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  • Chan, Kam C.
  • Norrbin, Stefan C.
  • Lai, Pikki

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  • Chan, Kam C. & Norrbin, Stefan C. & Lai, Pikki, 1997. "Are stock and bond prices collinear in the long run?," International Review of Economics & Finance, Elsevier, vol. 6(2), pages 193-201.
    • Handle: RePEc:eee:reveco:v:6:y:1997:i:2:p:193-201
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    1. Perron, Pierre, 1988. "Trends and random walks in macroeconomic time series : Further evidence from a new approach," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 297-332.
    2. Osterwald-Lenum, Michael, 1992. "A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 54(3), pages 461-472, August.
    3. Phillips, P C B, 1987. "Time Series Regression with a Unit Root," Econometrica, Econometric Society, vol. 55(2), pages 277-301, March.
    4. Shiller, Robert J., 1982. "Consumption, asset markets and macroeconomic fluctuations," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 17(1), pages 203-238, January.
    5. Barsky, Robert B, 1989. "Why Don't the Prices of Stocks and Bonds Move Together?," American Economic Review, American Economic Association, vol. 79(5), pages 1132-1145, December.
    6. Bossaerts, Peter, 1988. "Common nonstationary components of asset prices," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 347-364.
    7. Engle, Robert & Granger, Clive, 2015. "Co-integration and error correction: Representation, estimation, and testing," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 39(3), pages 106-135.
    8. Campbell, John Y & Shiller, Robert J, 1987. "Cointegration and Tests of Present Value Models," Journal of Political Economy, University of Chicago Press, vol. 95(5), pages 1062-1088, October.
    9. Dwyer, Gerald Jr. & Wallace, Myles S., 1992. "Cointegration and market efficiency," Journal of International Money and Finance, Elsevier, vol. 11(4), pages 318-327, August.
    10. Norrbin, S.C., 1993. "Bivariate Cointegration Among European Monetary System Exchange Rates," Working Papers 1993_07_06, Department of Economics, Florida State University.
    11. Phillips, P C B, 1987. "Time Series Regression with a Unit Root," Econometrica, Econometric Society, vol. 55(2), pages 277-301, March.
    12. Granger, Clive W J, 1986. "Developments in the Study of Cointegrated Economic Variables," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 48(3), pages 213-228, August.
    13. Reffett, Kevin L., 1995. "Arbitrage pricing and the stochastic inflation tax in a multisector monetary economy," Journal of Economic Dynamics and Control, Elsevier, vol. 19(3), pages 569-597, April.
    14. Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-1580, November.
    15. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
    16. Stock, James H, 1987. "Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors," Econometrica, Econometric Society, vol. 55(5), pages 1035-1056, September.
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    Cited by:

    1. Sebastien Valeyre, 2022. "Optimal trend following portfolios," Papers 2201.06635, arXiv.org.
    2. Jammazi, Rania & Ferrer, Román & Jareño, Francisco & Hammoudeh, Shawkat M., 2017. "Main driving factors of the interest rate-stock market Granger causality," International Review of Financial Analysis, Elsevier, vol. 52(C), pages 260-280.
    3. Román Ferrer & Syed Jawad Hussain Shahzad & Adrián Maizonada, 2019. "Nonlinear and extreme dependence between long-term sovereign bond yields and the stock market: A quantile-on-quantile analysis," Economics Bulletin, AccessEcon, vol. 39(2), pages 969-981.
    4. Kim, Sangbae & In, Francis, 2007. "On the relationship between changes in stock prices and bond yields in the G7 countries: Wavelet analysis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 17(2), pages 167-179, April.
    5. K. Latha & Sunita Gupta & Arnav Kumar, 2016. "Relationship between Indian Stock Market Performance and Macroeconomic Variables: An Empirical Study," International Journal of Financial Markets, Research Academy of Social Sciences, vol. 2(4), pages 109-121.
    6. Misheck Mutize & Sean J. Gossel, 2019. "Sovereign Credit Rating Announcement Effects on Foreign Currency Denominated Bond and Equity Markets in Africa," Journal of African Business, Taylor & Francis Journals, vol. 20(1), pages 135-152, January.
    7. Ferrer, Román & Bolós, Vicente J. & Benítez, Rafael, 2016. "Interest rate changes and stock returns: A European multi-country study with wavelets," International Review of Economics & Finance, Elsevier, vol. 44(C), pages 1-12.

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