Macroeconomic variables and long-term stock market performance : a panel ARDL cointegration approach for G7 countries

Andreas Humpe and David G. McMillan

Based on the present value model for stock prices, we utilise a pooled mean group estimator for panel ARDL cointegration to estimate the long-run relationship between G7 stock prices and macroeconomic variables over the last 40 years. We find a positive long-run relation between stock prices, industrial production and consumer prices as well as a negative relationship with real 10-year interest rates.

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Year of publication:	2020
Authors:	Humpe, Andreas ; McMillan, David G.
Published in:	Cogent economics & finance. - Abingdon : Taylor & Francis, ISSN 2332-2039, ZDB-ID 2773198-4. - Vol. 8.2020, 1, Art.-No. 1816257, p. 1-7
Subject:	cointegration \| macroeconomy \| stock market \| Kointegration \| Cointegration \| Aktienmarkt \| Stock market \| Börsenkurs \| Share price \| Wirkungsanalyse \| Impact assessment \| Schätzung \| Estimation \| Zeitreihenanalyse \| Time series analysis

Type of publication:	Article
Type of publication (narrower categories):	Aufsatz in Zeitschrift ; Article in journal
Language:	English
Other identifiers:	10.1080/23322039.2020.1816257 [DOI] hdl:10419/269972 [Handle]
Classification:	C32 - Time-Series Models ; E44 - Financial Markets and the Macroeconomy ; G12 - Asset Pricing ; g7
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013179569