TAILIEUCHUNG - Stock prices and GDP in the long run

Previous studies have documented long run equilibrium relationships between either stock prices and labour income or dividends and consumption. In a general equilibrium stochastic growth model, these variables are related in the long run because they are all driven by the same stochastic trend - the fundamental development of productivity. We show that national stock price indices are cointegrated with domestic and foreign GDP in the G7 countries. Higher domestic productivity increase both domestic GDP and domestic stock prices. In the panel, countries with favorable GDP developments also have higher stock prices. The relationship between relative GDP and relative stock prices is stronger for countries with markedly different GDP growth compared to their trading partners. | Journal of Applied Finance Banking 2018 107-126 ISSN 1792-6580 print version 1792-6599 online Scienpress Ltd 2018 Stock prices and GDP in the long run Annika Alexius1 and Daniel Spang2 Abstract Previous studies have documented long run equilibrium relationships between either stock prices and labour income or dividends and consumption. In a general equilibrium stochastic growth model these variables are related in the long run because they are all driven by the same stochastic trend - the fundamental development of productivity. We show that national stock price indices are cointegrated with domestic and foreign GDP in the G7 countries. Higher domestic productivity increase both domestic GDP and domestic stock prices. In the panel countries with favorable GDP developments also have higher stock prices. The relationship between relative GDP and relative stock prices is stronger for countries with markedly different GDP growth compared to their trading partners. JEL classification numbers E44 G12 Keywords Stock prices Long Run Risks Cointegration 1 Introduction What determines the development of stock prices in the long run Accord 1 Department of Economics Stockholm University. E-mail . 2 The Fourth Swedish National Pension Fund. E-mail daniel-spang@. Article Info Received February 2 2018. Revised March 5 2018. Published online July 1 2018. 108 Stock prices and GDP in the long run ing to the classic Lucas 1978 tree model the price of assets fruit trees in his model is determined solely by the present value of future dividends future fruit production . Hence we expect a link between output and stock prices. A theoretical relationship between stock prices and productivity within a country is derived in Kung and Schmid 2015 who construct a general equilibrium stochastic growth model with endogenous productivity growth and asset prices. Given that consumption dividends labour income output and stock prices are all endogenous .

• Đầu tư Chứng khoán
• Stock prices
• Long run risks
• GDP in the long run
• Stock prices and GDP
• Stochastic trend
• Stock returns
• Oil prices
• Long run association of oil prices
• Stock market index in Indonesia
• Oil crude oil prices
• Crude oil prices
• Time series
• Structural break
• Stock prices in saudi Arabia
• Asymmetric causality
• Asymmetric causality analysis
• Stock prices in BRICS T countries
• Doctoral thesis summary
• Research on the stock prices
• The stock prices synchronicityof listed companies
• Vietnam stock market
• Share price volatility
• An empirical investigation
• Factors affecting
• Stock prices in Vietnam
• Factors affecting Stock prices in Vietnam
• The results indicate that Vietnam
• Exchange rate
• Evidence from Nigeria
• Inflation volatility
• Stock prices volatility
• Crude oil
• Stock market
• Global prices
• Stock market nexus in Indonesia
• Global prices of crude oil
• Macroeconomic factors
• Market factors
• Real estate companies
• Vietnamese stock market
• Granger causality
• Vietnamese stock market index
• Economic growth of Vietnam
• Dividend policy
• Quantile regression
• Variation of stock prices
• Employing ordinary least squares
• Stock price
• Garch model
• Event window
• COVID 19 pandemic on stock prices
• Energy sector
• Oil price
• Stock return
• Volatility spillovers
• Var Garch model
• Oil prices and stock returns
• Developing countries
• Ho Chi Minh City Stock Exchange
• Hanoi Stock Exchange
• Institutional investors
• Stock price synchronicity
• Stock price informativeness
• Informational efficiency
• Central bank
• European central bank
• Influence stock prices
• Historical volatility
• Index volatility
• Monetary policy
• Historical volatility influence stock prices
• HCMC stock exchange
• Stock exchange
• Market risk
• VN Index
• Gold market
• Evidence from Pakistan stock exchange
• Breadth of ownership
• Investor behavior
• Equity prices
• China stock market
• Address this gap
• A DCC model
• Global financial crisis
• European sovereign debt crisis
• Exchange rates
• Stock prices and currency contagion
• Volatility transmission
• Causality in variance
• Conditional correlations
• Multivariate garch
• Sector indexes
• Portfolio decisions
• Energy stocks
• Price forecasts
• Ichimoku cloud
• Trading performance
• Leading US energy stock prices be predicted
• Stock market returns
• Oil price fluctuations
• Interest rate
• Crude oil price
• Emerging markets
• Indian stock market
• Stock market volatility
• Aggregate stock price level
• Generalised Autoregressive Conditional Heteroscedasticity
• Case of aggregate stock price