EconPapers    
Economics at your fingertips  
 

Wealth‐to‐Income Ratio and Stock Market Movements: Evidence from a Nonparametric Causality Test

Mehmet Balcilar, Rangan Gupta, Ricardo Sousa and Mark Wohar ()

International Review of Finance, 2018, vol. 18, issue 3, 495-506

Abstract: We use a nonparametric causality‐in‐quantile test to analyze the predictive ability of the wealth‐to‐income ratio (wy) for excess stock returns and their volatility. Our results reveal that the wy is nonlinearly related with excess stock returns, and hence, results from linear Granger causality tests cannot be deemed robust. When we apply the nonparametric causality‐in‐quantile test, we find that the wy can predict excess stock returns over the majority of the conditional distribution, with the exception being the extreme ends, that is, when the market is in deep bear or bull phases. However, the wy has no predictability for the volatility of excess stock returns.

Date: 2018
References: Add references at CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link)
https://doi.org/10.1111/irfi.12136

Related works:
Working Paper: Wealth-to-Income Ratio and Stock Market Movements: Evidence from a Nonparametric Causality Test (2017)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:irvfin:v:18:y:2018:i:3:p:495-506

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=1369-412X

Access Statistics for this article

International Review of Finance is currently edited by Bruce D. Grundy, Naifu Chen, Ming Huang, Takao Kobayashi and Sheridan Titman

More articles in International Review of Finance from International Review of Finance Ltd.
Bibliographic data for series maintained by Wiley Content Delivery ().

 
Page updated 2024-02-15
Handle: RePEc:bla:irvfin:v:18:y:2018:i:3:p:495-506