Mukherjee, Tarun K; Naka, Atsuyuki - In: Journal of Financial Research 18 (1995) 2, pp. 223-37
By employing the vector error correction model (VECM) in a system of seven equations, we find that the Japanese stock market is cointegrated with a group of six macroeconomic variables. The signs of the long-term elasticity coefficients of the macroeconomic variables on stock prices generally...