Forward-Looking Agents and Macroeconomic Determinants of the Equity Price in a Small Open Economy

  • Amir Kia
  • Published 2001
A macro-determinant model of stock price using monthly data on Canadian and U.S. markets is estimated. It is found that the commodity price is also an important component of stock prices. The economic agents in the stock markets are forward looking and their reactions to equilibrium errors are asymmetric. It is also found that deviations from fundamental… (More)