TAILIEUCHUNG - International evidence on the stock market and aggregate economic activity

The last solution is the one of choice, if you have the machines. But many people don't and that is why one alternative is to find a shop that will help you out. If you can find such a shop it may turn out to be very easy for you to show up now and then with a few boards and quickly have them planed down, so it's worth the effort to investigate by calling around. But keep the following in mind. These shops will be busy and it is not worth their while to disturb their normal flow of. | ELSEVIER Journal of Empirical Finance 5 1998 281-296 Journal of EMPIRICAL FINANCE International evidence on the stock market and aggregate economic activity Yin-Wong Cheung a Lilian K. Ng b a Economics Board University of California Santa Cruz CA 95064 USA b Hongkong University of Science Technology and University of Southern California Los Angeles USA Accepted 29 July 1997 Abstract Using the Johansen cointegration technique we find empirical evidence of long run comovements between five national stock market indexes and measures of aggregate real activity including the real oil price real consumption real money and real output. Real returns on these indexes are typically related to transitory deviations from the long run relationship and to changes in the macroeconomic variables. Further the constraints implied by the cointegration results yield some incremental information on stock return variation that is not already contained in dividend yields interest rate spreads and future GNP growth rates. 1998 Elsevier Science . All rights reserved. 1. Introduction It is often observed that stock prices tend to fluctuate with economic news and this observation is supported by empirical evidence showing that macroeconomic variables have explanatory power for stock returns. Fama 1981 1990 Chen et al. 1986 Barro 1990 Schwert 1990 and Ferson and Harvey 1991 have found that . stock returns and its aggregate real activity are correlated. Asprem 1989 Beckers et al. 1992 Ferson and Harvey 1993 Cheung et al. 1997a b have reached a similar conclusion using other international market data. Corresponding author. Tel. 1-408-4594247. 0927-5398 98 1998 Elsevier Science . All rights reserved. PII S0927-5398 97 00025-X 282 . Cheung . Ng Journal of Empirical Finance 5 1998 281 296 These studies emphasize the short-run relationship among stock returns macroeconomic variables and financial variables. Little work however is focused on the long run comovement between .

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