International Evidence on the Stock Market and Aggregate Economic Activity

Posted: 14 Oct 1996

See all articles by Lilian Ng

Lilian Ng

Schulich School of Business, York University; European Corporate Governance Institute (ECGI)

Date Written: Undated

Abstract

Using the Johansen cointegration technique, we find empirical evidence of long run co-movements between 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 GNP growth rates.

JEL Classification: G12, G15, E2, E3, E4, E5, F15, F36

Suggested Citation

Ng, Lilian, International Evidence on the Stock Market and Aggregate Economic Activity (Undated). Available at SSRN: https://ssrn.com/abstract=3399

Lilian Ng (Contact Author)

Schulich School of Business, York University ( email )

N223, Seymour Schulich Building
4700 Keele Street
Toronto, Ontario ON M3J 1P3
Canada
+1.416.736.2100 x77994 (Phone)

European Corporate Governance Institute (ECGI) ( email )

c/o the Royal Academies of Belgium
Rue Ducale 1 Hertogsstraat
1000 Brussels
Belgium

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