Dynamic analysis between the US stock returns and the macroeconomic variables

Applied Financial Economics

Volumn 17, Issue 5, 2007, Pages 369-377

  Ratanapakorn, Orawan ^a   Sharma, Subhash C ^b  

^a THAMMASAT UNIVERSITY   (Thailand)

^b SOUTHERN ILLINOIS UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

ECONOMIC ANALYSIS; EXCHANGE RATE; FINANCE; INFLATION; INTEREST RATE; MACROECONOMICS; PRICE DYNAMICS; STOCK MARKET;

NORTH AMERICA; UNITED STATES;

EID: 33947228979     PISSN: 09603107     EISSN: 14664305     Source Type: Journal    
DOI: 10.1080/09603100600638944     Document Type: Article

References (32)

1. Abdalla, ISA and Murinde, V. (1997) Exchange rate and stock price interactions in emerging financial markets: Evidence on India, Korea, Pakistan and the Philippines. Applied Financial Economics, 7, pp. 25-35.
2. Abdullah, DA and Hayworth, SC (1993) Macroeconometrics of stock price fluctuations. Quarterly Journal of Business and Economics, 32, pp. 50-67.
3. Aspergis, N. (1998) Stock market volatility and deviations from macroeconomic fundamentals: Evidence from GARCH and GARCH-X models. Kredit and Kapital, 31, pp. 400-412. Stock market volatility and deviations from macroeconomic fundamentals: Evidence from GARCH and GARCH-X models.
4. Bulmash, SB and Trivoli, GW (1991) Time-lagged interactions between stock prices and selected economic variables. Journal of Portfolio Management, 17, pp. 61-67.
5. Chen, N-F, Roll, R. and Ross, SA (1986) Economics forces and the stock market. Journal of Business, 59, pp. 383-403.
6. Cheung, Y-W and Lai, KS (1999) Macroeconomic determinants of long-term stock market comovements among major EMS countries. Applied Financial Economics, 9, pp. 73-85.
7. Choi, JJ (1995) The Japanese and US stock prices: A comparative fundamental analysis. Japan and the World Economy, 7, pp. 347-360.
8. Davidson, LS and Froyen, RT (1982) Monetary policy and stock returns: are stock markets efficient?. Review, Federal Reserve Bank of St. Louis, pp. 3-12.
9. Dhakal, D., Kandil, M. and Sharma, SC (1993) Causality between the money supply and share prices: A VAR investigation. Quarterly Journal of Business and Economics, 32, pp. 52-74.
10. Engle, RF and Granger, CWJ (1987) Cointegration and error correction: representation, estimation and testing. Econometrica, 55, pp. 251-276.
11. Fama, EF (1981) Stock returns, real activity, inflation, and money. The American Economic Review, 71, pp. 545-565.
12. Fama, EF (1990) Stock returns, expected returns, and real activity. The Journal of Finance, 95, pp. 1089-1108.
13. Gallinger, GW (1994) Causality tests of the real stock return-real activity hypothesis. The Journal of Financial Research, 17, pp. 271-289.
14. Geske, R. and Roll, R. (1983) The fiscal and monetary linkage between stock returns and inflation. Journal of Finance, 38, pp. 1-33.
15. Gultekin, NB (1983) Stock market returns and inflation. Evidence from other countries. The Journal of Finance, 38, pp. 49-65.
16. Johansen, S. (1988) Statistical analysis if cointegration vector. Journal of Economic Dynamics and Control, 12, pp. 231-254.
17. Johansen, S. (1991) Estimation and hypothesis testing of cointegration vectors in guassian vector autoregressive models. Econometrica, 59, pp. 1551-1580.
18. Johansen, S. (1992) Determination of cointegration rank in the presence of a linear trend. Oxford Bulletin of Economics and Statistics, 54, pp. 383-397.
19. Johansen, S. and Juselius, K. (1990) The full information maximum likelihood procedure for inference on cointegration with applications to the demand for money. Oxford Bulletin of Economics and Statistics, 52, pp. 169-210.
20. Mahdavi, S. and Sohrabian, A. (1991) The link between the rate of growth of stock prices and the rate of growth of GNP in the United States: A granger causality test. The American Economist, 35, pp. 41-48.
21. Mashi, AMM and Mashi, R. (1996) Empirical tests to discern the dynamic causal chain in macroeconomic activity: New evidence from thailand and malaysia based on a multivariate cointegration/vector error-correction modeling approach. Journal of Policy Modeling, 18, pp. 531-560.
22. Mukherjee, TK and Naka, A. (1995) Dynamic relations between macroeconomic variables and the japanese stock market: An application of a vector error correction model. The Journal of Financial Research, 18, pp. 223-237.
23. Osterwald-Lenum, M. (1992) A note with quartiles as the asymptotic distribution of the maximum likelihood cointegration rank test statistics. Oxford Bulletin of Economics and Statistics, 54, pp. 461-472.
24. Pearce, DK and Roley, VV (1985) Stock prices and economic news. Journal of Business, 58, pp. 49-67.
25. Perron, P. (1988) Trend and random walks in macroeconomic time series: further evidence from a new approach. Journal of Economic Dynamics and Control, 12, pp. 297-332.
26. Phillips, PCB and Perron, P. (1988) Testing for a unit root in time series regression. Biometrika, 75, pp. 335-346.
27. Schwarz, TV and Szakmary, AC (1994) Price discovery in petroleum markets: Arbitrage, cointegration, and the time interval of analysis. The Journal of Futures Markets, 14, pp. 147-167.
28. Schwert, GW (1981) The adjustment of stock prices to information about inflation. The Journal of Finance, 36, pp. 15-29.
29. Schwert, GW (1990) Stock returns and real activity. A century of evidence. The Journal of Finance, 95, pp. 1237-1257.
30. Siklos, PL and Wohar, ME (1997) Convergence in interest rates and inflation rates across countries and over time. Review of International Economics, 5, pp. 129-141.
31. Solnik, B. (1983) The relation between stock prices and inflationary expectations: The international evidence. The Journal of Finance, 38, pp. 35-48.
32. (1998) World Stock Exchange Fact Book. Meridian Securities Markets