THE LONG RUN RELATIONSHIP BETWEEN STOCK PRICES AND GOODS PRICES: NEW EVIDENCE FROM PANEL COINTEGRATION

Andros Gregoriou () and Alexandros Kontonikas ()

Working Papers from Business School - Economics, University of Glasgow

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 sixteen OECD countries over the period 1970-2006 are used. We account for different inflation regimes with the use of sub-sample regressions, whilst 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.

JEL-codes: C33 G12 (search for similar items in EconPapers)
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Citations: View citations in EconPapers (2)

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Related works:
Journal Article: The long-run relationship between stock prices and goods prices: New evidence from panel cointegration (2010)
Working Paper: The long run relationship between stock prices and goods prices: new evidence from panel cointegration (2008)
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Persistent link: https://EconPapers.repec.org/RePEc:gla:glaewp:2008_19

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