Time variation in the cointegrating relationship between stock prices and economic activity

@inproceedings{McMillan2005TimeVI,
  title={Time variation in the cointegrating relationship between stock prices and economic activity},
  author={David Evans McMillan},
  year={2005}
}
The present paper examines whether there exists a long-run cointegrating relationship between a stock market index and output and interest rates. Moreover, estimation is conducted over the full sample and both a recursive and rolling sample to examine any time variation in the nature of the relationship. The results support evidence of a single cointegrating vector, where stock prices typically exhibit a positive relationship with industrial production and a negative relationship with interest… CONTINUE READING

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