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Looking far in the past: Revisiting the growth-returns nexus with non-parametric tests

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Author Info
Ekaterini Panopoulou
Nikitas Pittis
Sarantis Kalyvitis

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Abstract

In this paper we reexamine the linkages between output growth and real stock price changes for the G7 countries using a battery of non-parametric procedures to account for the impact of long-lagged observations. We find that correlation between growth and returns is detected at larger horizons than those typically employed in parametric studies. The major feedbacks emerge from stock price changes to growth within the first 6 to 12 months, but we show that significant feedbacks may last for up to two or three years. Our evidence also suggests that the correlation patterns differ substantially between the countries at hand when the sectoral share indices are considered.

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Paper provided by IIIS in its series The Institute for International Integration Studies Discussion Paper Series with number iiisdp134.

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Date of creation: 23 May 2006
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Handle: RePEc:iis:dispap:iiisdp134

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Keywords: real stock price changes; output growth; long-run covariance matrix;

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  23. repec:cup:etheor:v:12:y:1996:i:1:p:61-87 is not listed on IDEAS
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Ekaterini Panopoulou, 2006. "The predictive content of financial variables: Evidence from the euro area," The Institute for International Integration Studies Discussion Paper Series iiisdp178, IIIS. [Downloadable!]
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