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http://hdl.handle.net/1893/31729| Appears in Collections: | Accounting and Finance Journal Articles |
| Peer Review Status: | Refereed |
| Title: | Macroeconomic variables and long-term stock market performance. A panel ARDL cointegration approach for G7 countries |
| Author(s): | Humpe, Andreas McMillan, David G |
| Keywords: | cointegration stock market macroeconomy G12 G7 C32 E44 |
| Issue Date: | 2020 |
| Date Deposited: | 23-Sep-2020 |
| Citation: | Humpe A & McMillan DG (2020) Macroeconomic variables and long-term stock market performance. A panel ARDL cointegration approach for G7 countries. Cogent Economics and Finance, 8, Art. No.: 1816257. https://doi.org/10.1080/23322039.2020.1816257 |
| Abstract: | Based on the present value model for stock prices, we utilise a pooled mean group estimator for panel ARDL cointegration to estimate the long-run relationship between G7 stock prices and macroeconomic variables over the last 40 years. We find a positive long-run relation between stock prices, industrial production and consumer prices as well as a negative relationship with real 10-year interest rates. |
| DOI Link: | 10.1080/23322039.2020.1816257 |
| Rights: | © 2020 The Author(s). This open access article is distributed under a Creative Commons Attribution (CC-BY - https://creativecommons.org/licenses/by/4.0/) 4.0 license. You are free to: Share — copy and redistribute the material in any medium or format. Adapt — remix, transform, and build upon the material for any purpose, even commercially. The licensor cannot revoke these freedoms as long as you follow the license terms. Under the following terms: Attribution — You must give appropriate credit, provide a link to the license, and indicate if changes were made. You may do so in any reasonable manner, but not in any way that suggests the licensor endorses you or your use. No additional restrictions You may not apply legal terms or technological measures that legally restrict others from doing anything the license permits. |
| Licence URL(s): | http://creativecommons.org/licenses/by/4.0/ |
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| 23322039.2020.1816257.pdf | Fulltext - Published Version | 642.76 kB | Adobe PDF | View/Open |
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