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 sixteen OECD countries over the period 1970-2006 are used. We account for different inflation regimes with the use of sub-sample regressions, whilst 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 InfoPaper provided by Business School - Economics, University of Glasgow in its series Working Papers with number 2008_19.
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- Gregoriou, Andros & Kontonikas, Alexandros, 2010. "The long-run relationship between stock prices and goods prices: New evidence from panel cointegration," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 20(2), pages 166-176, April.
- 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).
- C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Longitudinal Data; Spatial Time Series
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing
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