The long-run relationship between stock prices and goods prices: New evidence from panel cointegration

Andros Gregoriou and Alexandros Kontonikas ()

Journal of International Financial Markets, Institutions and Money, 2010, vol. 20, issue 2, 166-176

Abstract: We examine the long-run relationship between stock prices and goods prices to gauge whether stock market investment can hedge against inflation. Data from 16 OECD countries over the period 1970-2006 are used. We account for different inflation regimes with the use of sub-sample regressions, while maintaining the power of tests in small sample sizes by combining time-series data across our sample countries in a panel unit root and panel cointegration econometric framework. The evidence supports a positive long-run relationship between goods prices and stock prices with the estimated goods price coefficient being in line with the generalized Fisher hypothesis.

Keywords: Stock; prices; Good; prices; Panel; cointegration (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (8)

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Related works:
Working Paper: The long run relationship between stock prices and goods prices: new evidence from panel cointegration (2008)
Working Paper: THE LONG RUN RELATIONSHIP BETWEEN STOCK PRICES AND GOODS PRICES: NEW EVIDENCE FROM PANEL COINTEGRATION
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Persistent link: https://EconPapers.repec.org/RePEc:eee:intfin:v:20:y:2010:i:2:p:166-176

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