Broken trend output in a model of stock returns and economic activity

Perry Sadorsky

Applied Financial Economics, 2001, vol. 11, issue 1, 17-21

Abstract: This paper investigates the interaction between real stock returns and economic activity using a new econometric technique that suggests postwar US industrial production is best characterized as broken trend stationary rather than first difference stationary. This result, however, has little impact on the Granger causal relationship between real stock returns and economic activity. Results from a small forecasting experiment indicate that determining which model forecasts the best depends upon the criteria being used to evaluate the forecast summary statistics.

Date: 2001
References: Add references at CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www.tandfonline.com/doi/abs/10.1080/09603100150210228 (text/html)
Access to full text is restricted to subscribers.

Related works:
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:taf:apfiec:v:11:y:2001:i:1:p:17-21

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAFE20

DOI: 10.1080/09603100150210228

Access Statistics for this article

Applied Financial Economics is currently edited by Anita Phillips

More articles in Applied Financial Economics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().