International evidence on the stock exchange and aggregate economic activity

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International evidence on the stock market and aggregate economic activity

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 international evidence on the stock exchange and aggregate economic activity, and future GNP growth rates.

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Macroeconomic Variables and Security Prices in India during the Liberalized - Tarak Nath Sahu - Google Livres

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Please enable JavaScript to use all the features on this page. Journal of Empirical Finance Volume 5, Issue 3SeptemberPages International evidence on the stock market and aggregate economic activity.

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Numbers and letters correspond to the affiliation list. Click to expose these in author workspace Lilian K. 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.

Forecasting Financial Markets in India - Google Livres

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