 Time-Varying Causal Relationship between Stock Market and Unemployment in the United Kingdom: Historical Evidence from 1855 to 2017Xolani Sibande (), Rangan Gupta and Mark Wohar () No 201863, Working Papers from University of Pretoria, Department of Economics Abstract: The influence of financial markets on the real economy, including that of stock market returns on unemployment, is a key focus in the literature. Using DCC-MGARCH tests, we analyse time-varying causality between stock market returns and unemployment in the UK using monthly data from 1855 to 2017. The tests reveal that there is significant evidence of information spillover between the stock market and the labour market. This information spillover was found to be significant in the direction of stock market returns to unemployment, insignificant in the opposite direction, and significant bi-directionally. The results were also found to be congruent to the macroeconomic history of the UK. Keywords: Time-varying Granger causality; stock market returns; unemployment (search for similar items in EconPapers) There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it. Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:pre:wpaper:201863 Access Statistics for this paper More papers in Working Papers from University of Pretoria, Department of Economics Contact information at EDIRC. |
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