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Panopoulou, Ekaterini, Pittis, Nikitas and Kalyvitis, Sarantis (2006) Looking far in the Past: Revisiting the growth-returns nexus with non-parametric tests. UNSPECIFIED. (Unpublished)
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Abstract
In this paper we reexamine the linkages between output growth and real stock price changes for the G7 countries using a batttery of non-parametrric procedures to account for the impact of long-lagged observations. Wer find that correlation between growth and returns is detected at larger horizons than those typically employed in parametric studies. The major feedback emerge from stock price changes to growth within the first 6 to 12 months, but we show that significant feedbacks may last for up to two or three years. Our evidence also suggests htat the correlation patterns differ substantially between the countries at hand when the sectoral share indices are considered.
| Item Type: | Other |
|---|---|
| Additional Information: | Department of Economics Working Paper Series N166/03/06 |
| Keywords: | real stock price changes, output growth, long-run covariance matrix |
| Academic Unit: | Faculty of Social Sciences > Economics, Finance and Accounting |
| Item ID: | 295 |
| Depositing User: | Ms Sandra Doherty |
| Date Deposited: | 05 Apr 2006 |
| Refereed: | No |
| Related URLs: | |
| URI: | https://mural.maynoothuniversity.ie/id/eprint/295 |
| Use Licence: | This item is available under a Creative Commons Attribution Non Commercial Share Alike Licence (CC BY-NC-SA). Details of this licence are available here |
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