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

@inproceedings{Choi1999DoesTS,
  title={Does the stock market predict real activity? Time series evidence from the G-7 countries},
  author={Jongmoo Jay Choi and Shmuel Hauser and Kenneth J. Kopecky},
  year={1999}
}
This paper extends one aspect of the US stock market study of Fama (1990) and Schwert (1990). We examine the relationship between industrial production (IP) growth rates and lagged real stock returns for the G-7 countries using both in-sample cointegration and error-correction models and the out-of-sample forecast-evaluation procedure of Ashley et al. (1980). The cointegration tests show a long-run equilibrium relationship between the log levels of IP and real stock prices, while the error… CONTINUE READING

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