Cointegration and causality between macroeconomic variables and stock market returns
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- Keim, Donald B., 1985.
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- Chen, Nai-Fu, 1991. " Financial Investment Opportunities and the Macroeconomy," Journal of Finance, American Finance Association, vol. 46(2), pages 529-54, June.
- Burmeister, Edwin & Wall, Kent D, 1986. "The Arbitrage Pricing Theo;ry and Macroeconomic Factor Measures," The Financial Review, Eastern Finance Association, vol. 21(1), pages 1-20, February.
- Fama, Eugene F, 1991. " Efficient Capital Markets: II," Journal of Finance, American Finance Association, vol. 46(5), pages 1575-617, December.
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- Huang, Roger D & Kracaw, William A, 1984. " Stock Market Returns and Real Activity: A Note," Journal of Finance, American Finance Association, vol. 39(1), pages 267-73, March.
- Engle, Robert F. & Yoo, Byung Sam, 1987. "Forecasting and testing in co-integrated systems," Journal of Econometrics, Elsevier, vol. 35(1), pages 143-159, May.
- Hamao, Yasushi, 1988. "An empirical examination of the Arbitrage Pricing Theory : Using Japanese data," Japan and the World Economy, Elsevier, vol. 1(1), pages 45-61, October.
- Chen, Nai-Fu & Roll, Richard & Ross, Stephen A, 1986. "Economic Forces and the Stock Market," The Journal of Business, University of Chicago Press, vol. 59(3), pages 383-403, July.
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