Stock returns and real activity: the dynamic conditional lagged correlation approach

Using dynamic conditional correlations (DCCs), we estimate the time-varying relationship between stock market returns and output growth based on monthly data for the US over the 1964:01 to 2012:07 time period. We demonstrate that in general, this relationship is positive and present during the entire study period. Furthermore, our findings suggest that this relationship is strengthened during recessions.

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Year of publication:	2012-12-17
Authors:	Lyócsa, Štefan ; Baumöhl, Eduard ; Výrost, Tomáš

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Type of publication:	Book / Working Paper
Language:	English
Notes:	Lyócsa, Štefan and Baumöhl, Eduard and Výrost, Tomáš (2012): Stock returns and real activity: the dynamic conditional lagged correlation approach.
Classification:	G15 - International Financial Markets ; E44 - Financial Markets and the Macroeconomy
Source:	BASE

Persistent link: https://www.econbiz.de/10015235065