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Does the stock market predict real activity? Time series evidence from the G-7 countries

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  1. Musaeva, Gulzhan & Masih, Mansur, 2018. "Granger-causal relationship between islamic stock markets and oil prices: a case study of Malaysia," MPRA Paper 102862, University Library of Munich, Germany.
  2. Jiranyakul, Komain, 2009. "Economic Forces and the Thai Stock Market, 1993-2007," MPRA Paper 45582, University Library of Munich, Germany.
  3. Bergin, Paul R. & Pyun, Ju Hyun, 2016. "International portfolio diversification and multilateral effects of correlations," Journal of International Money and Finance, Elsevier, vol. 62(C), pages 52-71.
  4. 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, March.
  5. Aristeidis G. Samitas & Dimitris F. Kenourgios, 2007. "Macroeconomic factors' influence on 'new' European countries' stock returns: the case of four transition economies," International Journal of Financial Services Management, Inderscience Enterprises Ltd, vol. 2(1/2), pages 34-49.
  6. Tomáš Plíhal, 2016. "Granger Causality between Stock Market and Macroeconomic Indicators: Evidence from Germany," Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, Mendel University Press, vol. 64(6), pages 2101-2108.
  7. Assefa, Tibebe A. & Esqueda, Omar A. & Mollick, André Varella, 2017. "Stock returns and interest rates around the World: A panel data approach," Journal of Economics and Business, Elsevier, vol. 89(C), pages 20-35.
  8. Paraskevi Salamaliki, 2015. "Economic Policy Uncertainty and Economic Activity: A Focus on Infrequent Structural Shifts," Working Paper Series of the Department of Economics, University of Konstanz 2015-08, Department of Economics, University of Konstanz.
  9. Sellin, Peter, 1998. "Monetary Policy and the Stock Market: Theory and Empirical Evidence," Working Paper Series 72, Sveriges Riksbank (Central Bank of Sweden).
  10. Balcilar, Mehmet & Gupta, Rangan & Wohar, Mark E., 2017. "Common cycles and common trends in the stock and oil markets: Evidence from more than 150years of data," Energy Economics, Elsevier, vol. 61(C), pages 72-86.
  11. Laopodis, Nikiforos T., 2016. "Industry returns, market returns and economic fundamentals: Evidence for the United States," Economic Modelling, Elsevier, vol. 53(C), pages 89-106.
  12. Setareh Katircioglu & Salih Katircioglu, 2023. "The effects of business and finance conditions on the tourism stock markets: An empirical investigation from Turkey," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(4), pages 4500-4511, October.
  13. Ciccarone Giuseppe & Giuli Francesco & Marchetti Enrico, 2020. "Prospect Theory and sentiment-driven fluctuations," The B.E. Journal of Macroeconomics, De Gruyter, vol. 20(1), pages 1-25, January.
  14. 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.
  15. Frank Browne & David Doran, 2005. "Do equity index industry groups improve forecasts of inflation and production? A US analysis," Applied Economics, Taylor & Francis Journals, vol. 37(15), pages 1801-1812.
  16. 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.
  17. 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.
  18. Acaravci, Ali & Ozturk, Ilhan & Kandir, Serkan Yilmaz, 2012. "Natural gas prices and stock prices: Evidence from EU-15 countries," Economic Modelling, Elsevier, vol. 29(5), pages 1646-1654.
  19. Godfrey Akileng & Abbot Anthony Ogwang & Charles Ssendyona, 2018. "Determinants of performance of securities exchanges in East Africa," Journal of Finance and Investment Analysis, SCIENPRESS Ltd, vol. 7(3), pages 1-3.
  20. Ekaterini Panopoulou & Nikitas Pittis & Sarantis Kalyvitis, 2010. "Looking far in the past: revisiting the growth-returns nexus with non-parametric tests," Empirical Economics, Springer, vol. 38(3), pages 743-766, June.
  21. Filis, George, 2010. "Macro economy, stock market and oil prices: Do meaningful relationships exist among their cyclical fluctuations?," Energy Economics, Elsevier, vol. 32(4), pages 877-886, July.
  22. Benchimol, Jonathan & Saadon, Yossi & Segev, Nimrod, 2023. "Stock market reactions to monetary policy surprises under uncertainty," International Review of Financial Analysis, Elsevier, vol. 89(C).
  23. Miyakoshi, Tatsuyoshi & Li, Kui-Wai & Shimada, Junji & Tsukuda, Yoshihiko, 2020. "The impact of quantitative easing and carry trade on the real estate market in Hong Kong," International Review of Economics & Finance, Elsevier, vol. 69(C), pages 958-976.
  24. Kassouri, Yacouba & Altıntaş, Halil, 2022. "The quantile dependence of the stock returns of “clean” and “dirty” firms on oil demand and supply shocks," Journal of Commodity Markets, Elsevier, vol. 28(C).
  25. Nunes, Mauricio & Da Silva, Sergio, 2005. "Política Monetária e Relação entre PIB Real e Mercado de Ações na Economia Brasileira [Monetary policy and the relationship between real GDP and stockmarket in the Brazilian economy]," MPRA Paper 4158, University Library of Munich, Germany.
  26. Pons Novell, J., 2002. "Ciclo de la economía española y contenido informativo de los tipos de interés," Estudios de Economia Aplicada, Estudios de Economia Aplicada, vol. 20, pages 583-598, Diciembre.
  27. Siroos Khademalomoom & Paresh Kumar Narayan & Susan Sunila Sharma, 2019. "Higher Moments and Exchange Rate Behavior," The Financial Review, Eastern Finance Association, vol. 54(1), pages 201-229, February.
  28. Rangvid, Jesper, 2001. "Predicting returns and changes in real activity: evidence from emerging economies," Emerging Markets Review, Elsevier, vol. 2(4), pages 309-329, December.
  29. Mauro, Paolo, 2003. "Stock returns and output growth in emerging and advanced economies," Journal of Development Economics, Elsevier, vol. 71(1), pages 129-153, June.
  30. Lise Pichette, 2000. "Les effets réels du cours des actions sur la consommation," Staff Working Papers 00-21, Bank of Canada.
  31. Numan Ülkü & Kexing Wu, 2023. "Stock Market's Response to Real Output Shocks in China: A VARwAL Estimation," China & World Economy, Institute of World Economics and Politics, Chinese Academy of Social Sciences, vol. 31(5), pages 1-25, September.
  32. Croux, Christophe & Reusens, Peter, 2013. "Do stock prices contain predictive power for the future economic activity? A Granger causality analysis in the frequency domain," Journal of Macroeconomics, Elsevier, vol. 35(C), pages 93-103.
  33. Lyócsa, Štefan, 2014. "Growth-returns nexus: Evidence from three Central and Eastern European countries," Economic Modelling, Elsevier, vol. 42(C), pages 343-355.
  34. Elena Kalotychou & Sotiris K. Staikouras, 2005. "The Banking Exposure to International Lending: Regional Differences or Common Fundamentals?," Financial Markets, Institutions & Instruments, John Wiley & Sons, vol. 14(4), pages 187-214, November.
  35. Nikolaos Giannellis & Angelos Kanas & Athanasios P. Papadopoulos, 2010. "Asymmetric Volatility Spillovers between Stock Market and Real Activity: Evidence from the UK and the US," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 57(4), pages 429-445, December.
  36. Peter Sellin, 2001. "Monetary Policy and the Stock Market: Theory and Empirical Evidence," Journal of Economic Surveys, Wiley Blackwell, vol. 15(4), pages 491-541, September.
  37. Tiwari, Aviral Kumar & Mutascu, Mihai Ioan & Albulescu, Claudiu Tiberiu & Kyophilavong, Phouphet, 2015. "Frequency domain causality analysis of stock market and economic activity in India," International Review of Economics & Finance, Elsevier, vol. 39(C), pages 224-238.
  38. 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.
  39. A. Tahai & Robert Rutledge & Khondkar Karim, 2004. "An examination of financial integration for the group of seven (G7) industrialized countries using an I( ) cointegration model," Applied Financial Economics, Taylor & Francis Journals, vol. 14(5), pages 327-335.
  40. Qureshi, Fiza & Khan, Habib Hussain & Rehman, Ijaz Ur & Ghafoor, Abdul & Qureshi, Saba, 2019. "Mutual fund flows and investors’ expectations in BRICS economies: Implications for international diversification," Economic Systems, Elsevier, vol. 43(1), pages 130-150.
  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. 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).
  43. Oral Erdogan & Paul Bennett & Cenktan Ozyildirim, 2015. "Recession Prediction Using Yield Curve and Stock Market Liquidity Deviation Measures," Review of Finance, European Finance Association, vol. 19(1), pages 407-422.
  44. Yang, Qiao, 2019. "Stock returns and real growth: A Bayesian nonparametric approach," Journal of Empirical Finance, Elsevier, vol. 53(C), pages 53-69.
  45. 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.
  46. 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.
  47. Chi-Wei SU & Zong-Liang YAO & Hsu-Ling CHANG, 2016. "The relationship between output and asset prices: A time – and frequency – varying approach," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania / Editura Economica, vol. 0(1(606), S), pages 57-76, Spring.
  48. Anindya Biswas, 2015. "The output gap and inflation in U.S. data: an empirical note," Economics Bulletin, AccessEcon, vol. 35(2), pages 841-845.
  49. Avanidhar Subrahmanyam & Sheridan Titman, 2013. "Financial Market Shocks and the Macroeconomy," The Review of Financial Studies, Society for Financial Studies, vol. 26(11), pages 2687-2717.
  50. Nguyen, Trang & Chaiechi, Taha & Eagle, Lynne & Low, David, 2020. "Dynamic transmissions between main stock markets and SME stock markets: Evidence from tropical economies," The Quarterly Review of Economics and Finance, Elsevier, vol. 75(C), pages 308-324.
  51. Gallegati, Marco, 2008. "Wavelet analysis of stock returns and aggregate economic activity," Computational Statistics & Data Analysis, Elsevier, vol. 52(6), pages 3061-3074, February.
  52. Jörg Döpke & Karsten Müller & Lars Tegtmeier, 2023. "Moments of cross‐sectional stock market returns and the German business cycle," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 52(2), July.
  53. Anindya Biswas, 2014. "The output gap and expected security returns," Review of Financial Economics, John Wiley & Sons, vol. 23(3), pages 131-140, September.
  54. Johann Burgstaller, 2002. "Are stock returns a leading indicator for real macroeconomic developments?," Economics working papers 2002-07, Department of Economics, Johannes Kepler University Linz, Austria.
  55. Biswas, Anindya, 2014. "The output gap and expected security returns," Review of Financial Economics, Elsevier, vol. 23(3), pages 131-140.
  56. Emrah Koçak & Tarik Dogru & Khurram Shehzad & Umit Bulut, 2023. "The economic implications of the COVID-19 outbreak on tourism industry: Empirical evidence from Turkey," Tourism Economics, , vol. 29(3), pages 742-758, May.
  57. Jardine A. Husman & Ali Sakti & Dahnila Dahlan & Imam Wahyudi Indrawan & Zaäfri A. Husodo & Nur Dhani Hendranastiti & Muhammad Budi Prasetyo & Wahyu Jatmiko, 2022. "On The Development Of The Islamic Benchmark Rate: An Indonesian Case," Working Papers WP/04/2022, Bank Indonesia.
  58. Kim Sangbae & In Francis Haeuck, 2003. "The Relationship Between Financial Variables and Real Economic Activity: Evidence From Spectral and Wavelet Analyses," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 7(4), pages 1-18, December.
  59. 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.
  60. Tsagkanos, Athanasios & Siriopoulos, Costas, 2015. "Stock markets and industrial production in north and south of Euro-zone: Asymmetric effects via threshold cointegration approach," The Journal of Economic Asymmetries, Elsevier, vol. 12(2), pages 162-172.
  61. Westerlund, Joakim & Narayan, Paresh Kumar, 2012. "Does the choice of estimator matter when forecasting returns?," Journal of Banking & Finance, Elsevier, vol. 36(9), pages 2632-2640.
  62. 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.
  63. Veli Yilanci & Onder Ozgur & Muhammed Sehid Gorus, 2021. "Stock prices and economic activity nexus in OECD countries: new evidence from an asymmetric panel Granger causality test in the frequency domain," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-22, December.
  64. João Leitão & Joaquim Ferreira, 2021. "Dynamic Effects of Material Production and Environmental Sustainability on Economic Vitality Indicators: A Panel VAR Approach," JRFM, MDPI, vol. 14(2), pages 1-20, February.
  65. Lyócsa, Štefan & Výrost, Tomáš & Baumöhl, Eduard, 2012. "Breakdowns and revivals: the long-run relationship between the stock market and real economic activity in the G-7 countries," MPRA Paper 43306, University Library of Munich, Germany.
  66. Numan Ülkü & Duminda Kuruppuarachchi, 2015. "Stock Market's Response to Real Output Shocks: Connection Restored but Delayed," International Review of Finance, International Review of Finance Ltd., vol. 15(4), pages 613-622, December.
  67. Petri Kuosmanen & Juuso Vataja, 2017. "The return of financial variables in forecasting GDP growth in the G-7," Economic Change and Restructuring, Springer, vol. 50(3), pages 259-277, August.
  68. Shin, Claire & Masih, Mansur, 2016. "Lead-lag relationship between macroeconomic variables: evidence from Korea," MPRA Paper 107870, University Library of Munich, Germany.
  69. Jin Guo, 2015. "Causal relationship between stock returns and real economic growth in the pre- and post-crisis period: evidence from China," Applied Economics, Taylor & Francis Journals, vol. 47(1), pages 12-31, January.
  70. Yuan-Ming Lee & Kuan-Min Wang & T. Thanh-Binh Nguyen, 2008. "A Common-Use Proxy for Economic Performance: Application to Asymmetric Causality between the Stock Returns and Growth," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, vol. 7(2), pages 101-124, August.
  71. Panos Pouliasis & Ioannis Kyriakou & Nikos Papapostolou, 2017. "On equity risk prediction and tail spillovers," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 22(4), pages 379-393, October.
  72. Combes, C. & Rivat, C., 2008. "A modelling environment based on data warehousing to manage and to optimize the running of international company," International Journal of Production Economics, Elsevier, vol. 112(1), pages 294-308, March.
  73. Parul Bhatia & Hemalatha Ramasubramanian, 2019. "Co-integration Between Sensex and Other Popular Indices: A Decadal Study," FIIB Business Review, , vol. 8(2), pages 108-117, June.
  74. Boriss Siliverstovs & Manh Ha Duong, 2006. "On the Role of Stock Market for Real Economic Activity," Discussion Papers of DIW Berlin 599, DIW Berlin, German Institute for Economic Research.
  75. Bülent Köksal & Ahmet Çalışkan, 2012. "Political Business Cycles and Partisan Politics: Evidence from a Developing Economy," Economics and Politics, Wiley Blackwell, vol. 24(2), pages 182-199, July.
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