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Stock returns and real activity: A structural approach

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Cited by:

  1. Jay Choi, Jongmoo & Hauser, Shmuel & Kopecky, Kenneth J., 1999. "Does the stock market predict real activity? Time series evidence from the G-7 countries," Journal of Banking & Finance, Elsevier, vol. 23(12), pages 1771-1792, December.
  2. Fabio C. Bagliano & Claudio Morana, 2017. "It ain’t over till it’s over: A global perspective on the Great Moderation-Great Recession interconnection," Applied Economics, Taylor & Francis Journals, vol. 49(49), pages 4946-4969, October.
  3. Kent Hargis & William F. Maloney, 1997. "Emerging Equity Markets: Are They For Real?," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 20(2), pages 243-262, June.
  4. Canova, Fabio & Nicoló, Gianni De, 2000. "Stock Returns, Term Structure, Inflation, And Real Activity: An International Perspective," Macroeconomic Dynamics, Cambridge University Press, vol. 4(3), pages 343-372, September.
  5. Tang, Xiaobo & Yao, Xingyuan, 2018. "Do financial structures affect exchange rate and stock price interaction? Evidence from emerging markets," Emerging Markets Review, Elsevier, vol. 34(C), pages 64-76.
  6. Komain Jiranyakul, 2013. "The Predictive Role of Stock Market Return for Real Activity in Thailand," Asian Journal of Empirical Research, Asian Economic and Social Society, vol. 3(3), pages 317-328.
  7. Morana, Claudio, 2014. "Insights on the global macro-finance interface: Structural sources of risk factor fluctuations and the cross-section of expected stock returns," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 64-79.
  8. Anna Pavlova & Roberto Rigobon, 2007. "Asset Prices and Exchange Rates," The Review of Financial Studies, Society for Financial Studies, vol. 20(4), pages 1139-1180.
  9. Laopodis, Nikiforos T., 2011. "Equity prices and macroeconomic fundamentals: International evidence," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 21(2), pages 247-276, April.
  10. N. Groenewold, 2000. "Financial Deregulation and the Relationship Between the Economy and the Share Market in Australia," Economics Discussion / Working Papers 00-10, The University of Western Australia, Department of Economics.
  11. Pooja Joshi & A. K. Giri, 2015. "Cointegration and Causality between Macroeconomic variables and Stock Prices: Empirical Analysis from Indian Economy," Business and Economic Research, Macrothink Institute, vol. 5(2), pages 327-345, December.
  12. Fabio ALESSANDRINI, 2003. "Do Financial Variables Provide Information about the Swiss Business Cycle ?," Cahiers de Recherches Economiques du Département d'économie 03.02, Université de Lausanne, Faculté des HEC, Département d’économie.
  13. Dumas, Bernard & Harvey, Campbell R. & Ruiz, Pierre, 2003. "Are correlations of stock returns justified by subsequent changes in national outputs?," Journal of International Money and Finance, Elsevier, vol. 22(6), pages 777-811, November.
  14. Martin Schmitz, 2010. "Financial Markets and International Risk Sharing," Open Economies Review, Springer, vol. 21(3), pages 413-431, July.
  15. Barry Harrison & Winston Moore, 2009. "Spillover effects from London and Frankfurt to Central and Eastern European stock markets," Applied Financial Economics, Taylor & Francis Journals, vol. 19(18), pages 1509-1521.
  16. Chiarella Carl & Semmler Willi & Mittnik Stefan & Zhu Peiyuan, 2002. "Stock Market, Interest Rate and Output: A Model and Estimation for US Time Series Data," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 6(1), pages 1-39, April.
  17. Khaled Hussainey & Le Khanh Ngoc, 2009. "The impact of macroeconomic indicators on Vietnamese stock prices," Journal of Risk Finance, Emerald Group Publishing, vol. 10(4), pages 321-332, August.
  18. Velinov, Anton, 2018. "On the importance of testing structural identification schemes and the potential consequences of incorrectly identified models," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 2(1), pages 106-126.
  19. Kuosmanen, Petri & Nabulsi, Nasib & Vataja, Juuso, 2015. "Financial variables and economic activity in the Nordic countries," International Review of Economics & Finance, Elsevier, vol. 37(C), pages 368-379.
  20. Pooja Joshi & A K Giri, 2015. "Dynamic Relations between Macroeconomic Variables and Indian Stock Price: An Application of ARDL Bounds Testing Approach," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 5(10), pages 1119-1133, October.
  21. Andres Rivas & Rahul Verma & Antonio Rodriguez & Pedro H. Albuquerque, 2023. "The Increasing Impact of Spain on the Equity Markets of Brazil, Chile and Mexico," AMSE Working Papers 2312, Aix-Marseille School of Economics, France.
  22. Davis, E. Philip & Madsen, Jakob B., 2008. "Productivity and equity market fundamentals: 80 years of evidence for 11 OECD countries," Journal of International Money and Finance, Elsevier, vol. 27(8), pages 1261-1283, December.
  23. Simon Hayes, 2001. "Leading indicator information in UK equity prices: an assessment of economic tracking portfolios," Bank of England working papers 137, Bank of England.
  24. Lyocsa, Stefan, 2015. "Predicting changes in the output of OECD countries: An international network perspective," MPRA Paper 65774, University Library of Munich, Germany.
  25. Aviral K. Tiwari & Claudiu T. Albulescu & Rangan Gupta, 2016. "Time-frequency relationship between US output with commodity and asset prices," Applied Economics, Taylor & Francis Journals, vol. 48(3), pages 227-242, January.
  26. Nicolas de Roos & Bill Russell, 1996. "Towards an Understanding of Australia’s Co-movement with Foreign Business Cycles," RBA Research Discussion Papers rdp9607, Reserve Bank of Australia.
  27. Lyócsa, Štefan, 2014. "Growth-returns nexus: Evidence from three Central and Eastern European countries," Economic Modelling, Elsevier, vol. 42(C), pages 343-355.
  28. David Dickinson, 2000. "Stock market integration and macroeconomic fundamentals: an empirical analysis, 1980-95," Applied Financial Economics, Taylor & Francis Journals, vol. 10(3), pages 261-276.
  29. Ozlem Goktas & Aycan Hepsag, 2011. "Do stock returns lead real economic activity? Evidence from seasonal cointegration analysis," Economics Bulletin, AccessEcon, vol. 31(3), pages 2117-2127.
  30. Heimonen, Kari, 2010. "Money and equity returns in the Euro area," Global Finance Journal, Elsevier, vol. 21(2), pages 152-169.
  31. Habibullah, M.S. & Baharom, A.H. & Fong, Kin Hing, 2009. "Predictive Content of Output and Inflation For Stock Returns and Volatility: Evidence from Selected Asian Countries," MPRA Paper 14114, University Library of Munich, Germany.
  32. Rita De Siano, 2000. "Financial Variables As Leading Indicators: An Application To The G7 Countries," Working Papers 6_2000, D.E.S. (Department of Economic Studies), University of Naples "Parthenope", Italy.
  33. Willi Semmler, 2011. "Asset Prices, Booms and Recessions," Springer Books, Springer, number 978-3-642-20680-1, December.
  34. Christian Aubin & Jean-Pierre Berdot & Daniel Goyeau & Jacques Léonard, 2005. "Quelle convergence financière pour les pecos ?. Une analyse économétrique de l'évolution des marchés d'actions (1998-2003)," Revue économique, Presses de Sciences-Po, vol. 56(1), pages 147-169.
  35. Los, Cornelis A., 2006. "System identification in noisy data environments: An application to six Asian stock markets," Journal of Banking & Finance, Elsevier, vol. 30(7), pages 1997-2024, July.
  36. Szczygielski, Jan Jakub & Charteris, Ailie & Bwanya, Princess Rutendo & Brzeszczyński, Janusz, 2023. "Which COVID-19 information really impacts stock markets?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 84(C).
  37. Phylaktis, Kate & Ravazzolo, Fabiola, 2002. "Measuring financial and economic integration with equity prices in emerging markets," Journal of International Money and Finance, Elsevier, vol. 21(6), pages 879-903, November.
  38. Angelos Kanas & Christos Ioannidis, 2010. "Causality from real stock returns to real activity: evidence of regime-dependence," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 15(2), pages 180-197.
  39. Laopodis, Nikiforos T., 2009. "Are fundamentals still relevant for European economies in the post-Euro period?," Economic Modelling, Elsevier, vol. 26(5), pages 835-850, September.
  40. Nasseh, Alireza & Strauss, Jack, 2000. "Stock prices and domestic and international macroeconomic activity: a cointegration approach," The Quarterly Review of Economics and Finance, Elsevier, vol. 40(2), pages 229-245.
  41. Tsouma, Ekaterini, 2009. "Stock returns and economic activity in mature and emerging markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 49(2), pages 668-685, May.
  42. Goh, Jeremy C. & Jiang, Fuwei & Tu, Jun & Wang, Yuchen, 2013. "Can US economic variables predict the Chinese stock market?," Pacific-Basin Finance Journal, Elsevier, vol. 22(C), pages 69-87.
  43. Binswanger, Mathias, 2004. "How important are fundamentals?--Evidence from a structural VAR model for the stock markets in the US, Japan and Europe," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 14(2), pages 185-201, April.
  44. Lindman, Sebastian & Tuvhag, Tom & Jayasekera, Ranadeva & Uddin, Gazi Salah & Troster, Victor, 2020. "Market Impact on financial market integration: Cross-quantilogram analysis of the global impact of the euro," Journal of Empirical Finance, Elsevier, vol. 56(C), pages 42-73.
  45. Lyócsa, Štefan & Výrost, Tomáš & Plíhal, Tomáš, 2021. "A tale of tails : New evidence on the growth-return nexus," Finance Research Letters, Elsevier, vol. 38(C).
  46. Boamah, Nicholas Addai & Akotey, Joseph Oscar & Aaawaar, Godfred, 2020. "Economic engagement and within emerging markets integration," Research in International Business and Finance, Elsevier, vol. 52(C).
  47. Rajabrata Banerjee & Tony Cavoli & Ron McIver & Shannon Meng & John K. Wilson, 2023. "Predicting long‐run risk factors of stock returns: Evidence from Australia," Australian Economic Papers, Wiley Blackwell, vol. 62(3), pages 377-395, September.
  48. Velinov, Anton, 2016. "On the importance of testing structural identification schemes and the potential consequences of incorrectly identified models," VfS Annual Conference 2016 (Augsburg): Demographic Change 145581, Verein für Socialpolitik / German Economic Association.
  49. Herrera, Santiago & Perry, Guillermo, 2001. "Tropical bubbles : asset prices in Latin America, 1980-2001," Policy Research Working Paper Series 2724, The World Bank.
  50. Ülkü, Numan & Kuruppuarachchi, Duminda & Kuzmicheva, Olga, 2017. "Stock market's response to real output shocks in Eastern European frontier markets: A VARwAL model," Emerging Markets Review, Elsevier, vol. 33(C), pages 140-154.
  51. Andrés Rivas & Rahul Verma & Antonio Rodriguez & Pedro H. Albuquerque, 2005. "Do European Stock Markets Affect Latin American Stock Markets?," Finance 0512017, University Library of Munich, Germany.
  52. Binswanger, Mathias, 2004. "Stock returns and real activity in the G-7 countries: did the relationship change during the 1980s?," The Quarterly Review of Economics and Finance, Elsevier, vol. 44(2), pages 237-252, May.
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