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Looking far in the past: Revisiting the growth-returns nexus with non-parametric tests

Panopoulou, Ekaterini, Pittis, Nikitas, Kalyvitis, Sarantis (2010) Looking far in the past: Revisiting the growth-returns nexus with non-parametric tests. Empirical Economics, 38 (3). pp. 743-766. ISSN 0377-7332. (doi:10.1007/s00181-009-0288-4) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided) (KAR id:34605)

The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided.
Official URL:
http://dx.doi.org/10.1007/s00181-009-0288-4

Abstract

In this paper, we reexamine the linkages between output growth and real stock price changes for the G7 countries using 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 6–12 months, but we show that significant feedbacks may last for up to 2 or 3 years. Our evidence also suggests that the correlation patterns differ substantially between the countries at hand when the sectoral share indices are considered.

Item Type: Article
DOI/Identification number: 10.1007/s00181-009-0288-4
Uncontrolled keywords: Real stock price changes · Output growth · Long-run covariance matrix
Subjects: H Social Sciences
H Social Sciences > H Social Sciences (General)
Divisions: Divisions > Kent Business School - Division > Kent Business School (do not use)
Depositing User: Catherine Norman
Date Deposited: 10 Jul 2013 15:32 UTC
Last Modified: 05 Nov 2024 10:17 UTC
Resource URI: https://kar.kent.ac.uk/id/eprint/34605 (The current URI for this page, for reference purposes)

University of Kent Author Information

Panopoulou, Ekaterini.

Creator's ORCID: https://orcid.org/0000-0001-5080-9965
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