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| Author: | Cheung, Y-W. Ng, L. K. |
| Title: | International evidence on the stock market and aggregate economic activity |
| Journal: | Journal of Empirical Finance
1998 : SEP, VOL. 5:3, p. 281-296 |
| Index terms: | Stock markets Oil prices Consumption Output Money Commodities Macroeconomics |
| Freeterms: | GNP |
| Language: | eng |
| Abstract: | In the paper, using the Johansen cointegration technique, there is empirical evidence found of long run co-movements btw. five national stock market indexes and measures of aggregate real activity including the real oil price, real consumption, real money, and real output. Real returns on these indexes are typically related to transitory deviations from the long run relationship and to changes in the macroeconomic variables. Further, the constraints implied by the cointegration results yield some incremental information on stock return variation that is not already contained in dividend yields, interest rate spreads, and future gross national product (or GNP) growth rates. |
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