Looking far in the past:Revisiting the growth-returns nexus with non-parametric tests
Ekaterini Panopoulou (),
Nikitas Pittis () and
Sarantis Kalyvitis ()
Economics, Finance and Accounting Department Working Paper Series from Department of Economics, Finance and Accounting, National University of Ireland - Maynooth
In this paper we reexamine the linkages between output growth and real stock price changes for the G7 countries using a battery of non-parametric procedures to account for the impact of long-lagged observations. We find that correlation between growth and returns is detected at larger horizons than those typically employed in parametric studies. The major feedbacks emerge from stock price changes to growth within the first 6 to 12 months, but we show that significant feedbacks may last for up to two or three years. Our evidence also suggests that the correlation patterns differ substantially between the countries at hand when the sectoral share indices are considered.
Keywords: real stock price changes; output growth; long-run covariance matrix (search for similar items in EconPapers)
JEL-codes: C14 G10 O51 (search for similar items in EconPapers)
Pages: 30 pages
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Journal Article: Looking far in the past: revisiting the growth-returns nexus with non-parametric tests (2010)
Working Paper: Looking far in the past: Revisiting the growth-returns nexus with non-parametric tests (2006)
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Persistent link: https://EconPapers.repec.org/RePEc:may:mayecw:n1660306
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