Stock Market Indicators and Economic Activity. Some Evidence for Argentina

Luis Lanteri ()

Ensayos Económicos, 2014, vol. 1, issue 70, 83-108

Abstract: This paper examines the long-term relationships between the main indicators of stock market and economic activity, in the case of Argentina. The paper employ Granger causality and exogeneity tests based on VEC models (vector error correction), with monthly data covering the period 1993:1-2010:8. The results show that the main stock indexes of Buenos Aires Stock Exchange Market (MERVAL25 and BURCAP) Granger cause to the estimator of economic activity (EMAE) and that these indexes could be considered exogenous variables (weak and strong). Both stock indexes could be used to anticipate future movements in the monthly indicator of economic activity.

Keywords: Argentina; economic activity; exogeneity; Granger causality; stock market indicators; VEC models (search for similar items in EconPapers)
JEL-codes: C32 E31 E37 (search for similar items in EconPapers)
Date: 2014
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