International evidence on the stock market and aggregate economic activity

Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journalNot applicablepeer-review

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Author(s)

Detail(s)

Original languageEnglish
Pages (from-to)281-296
Journal / PublicationJournal of Empirical Finance
Volume5
Issue number3
Publication statusPublished - Sep 1998
Externally publishedYes

Abstract

Using the Johansen cointegration technique, we find empirical evidence of long run comovements between five national stock market indexes and measures of aggregate real activity including the real oil price, real consumption, real money, and real output. Real returns on these indexes are typically related to transitory deviations from the long run relationship and to changes in the macroeconomic variables. Further, the constraints implied by the cointegration results yield some incremental information on stock return variation that is not already contained in dividend yields, interest rate spreads, and future GNP growth rates.

Citation Format(s)

International evidence on the stock market and aggregate economic activity. / Cheung, Yin-Wong; Ng, Lilian K.

In: Journal of Empirical Finance, Vol. 5, No. 3, 09.1998, p. 281-296.

Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journalNot applicablepeer-review