Macroeconomic determinants of long-term stock market comovements among major EMS countries
AbstractLong-term comovements of national stock markets in three EMS (European Monetary System) countries - France, Germany and Italy - are examined. The EMS stock markets are found to display long-term comovements governed by two common permanent components. To identify some interpretable sources of such long-term market comovements, the study explores whether they can be linked to similar comovements in macroeconomic variables, including the money supply, dividends and industrial production. Like stock prices, two common permanent components are found driving the comovements in each of these variables. Further analysis suggests that the long-term comovements in stock prices can be partly attributable to those in the macroeconomic variables, especially for the post-1987 period. The results confirm at least a limited role of these macroeconomic variables in accounting for the stock market comovements among the EMS countries.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Applied Financial Economics.
Volume (Year): 9 (1999)
Issue (Month): 1 ()
Contact details of provider:
Web page: http://www.tandfonline.com/RAFE20
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Ratanapakorn, Orawan & Sharma, Subhash C., 2002. "Interrelationships among regional stock indices," Review of Financial Economics, Elsevier, vol. 11(2), pages 91-108.
- Flad, Michael & Jung, Robert C., 2008. "A common factor analysis for the US and the German stock markets during overlapping trading hours," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 18(5), pages 498-512, December.
- Yu Hsing, 2011. "Macroeconomic Variables and the Stock Market: the Case of Lithuania," The Review of Finance and Banking, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, vol. 3(1), pages 031-037, June.
- Shirvani, Hassan & Wilbratte, Barry, 2007. "The permanent-transitory decomposition of the stock markets of the G7 countries: A multivariate approach," The Quarterly Review of Economics and Finance, Elsevier, vol. 47(2), pages 352-365, May.
- repec:qut:dpaper:077 is not listed on IDEAS
- Panait, Iulian & Slavescu, Ecaterina Oana, 2011. "Volatility and causality study of the daily returns on the Bucharest Stock Exchange during 2007-2011," MPRA Paper 41786, University Library of Munich, Germany.
- Michael E. Drew & Leonard Chong, 2002. "Stock Market Interdependence: Evidence from Australia," School of Economics and Finance Discussion Papers and Working Papers Series 106, School of Economics and Finance, Queensland University of Technology.
- K. Chaudhuri & S. Smiles, 2004. "Stock market and aggregate economic activity: evidence from Australia," Applied Financial Economics, Taylor & Francis Journals, vol. 14(2), pages 121-129.
- Frank Westermann, 2004. "Does the Euro affect the dynamic interactions of stock markets in Europe? Evidence from France, Germany and Italy," The European Journal of Finance, Taylor & Francis Journals, vol. 10(2), pages 139-148.
- Siv Taing & Andrew Worthington, 2005. "Return relationships among European equity sectors: A comparative analysis across selected sectors in small and large economies," Journal of Applied Economics, Universidad del CEMA, vol. 0, pages 371-388, November.
- Phengpis, Chanwit & Apilado, Vince P., 2004. "Economic interdependence and common stochastic trends: A comparative analysis between EMU and non-EMU stock markets," International Review of Financial Analysis, Elsevier, vol. 13(3), pages 245-263.
- Tsutsui, Yoshiro & Hirayama, Kenjiro, 2005. "Estimation of the common and country-specific shock to stock prices," Journal of the Japanese and International Economies, Elsevier, vol. 19(3), pages 322-337, September.
- repec:qut:dpaper:100 is not listed on IDEAS
- Camilo Serrano & Martin Hoesli, 2012. "Fractional Cointegration Analysis of Securitized Real Estate," The Journal of Real Estate Finance and Economics, Springer, vol. 44(3), pages 319-338, April.
- Khan, Mashrur Mustaque & Yousuf, Ahmed Sadek, 2013. "Macroeconomic Forces and Stock Prices:Evidence from the Bangladesh Stock Market," MPRA Paper 46528, University Library of Munich, Germany.
- Andrew Worthington & Helen Higgs, 2001. "A multivariate GARCH analysis of equity returns and volatility in Asian equity markets," School of Economics and Finance Discussion Papers and Working Papers Series 089, School of Economics and Finance, Queensland University of Technology.
- Siv Heng Taing & Andrew C. Worthington, 2002. "Comovements among European equity sectors: Selected evidence from the consumer discretionary, consumer staples, financial, industrial and materials sectors," School of Economics and Finance Discussion Papers and Working Papers Series 116, School of Economics and Finance, Queensland University of Technology.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Michael McNulty).
If references are entirely missing, you can add them using this form.