This study examines the impulse response functions and causality test of stock market returns and market-wide liquidity as measured by share turnover (the total number of shares traded over a period divided by the average number of shares outstanding for the period). The analyses of the monthly...

This study investigates the dynamic effect of the change in aggregate Tobin's q ratio (TBQ) on the percentage change in the S&P 500 price-to-earnings ratio (PE). Based on the analysis of the quarterly market level data from 1951Q4 to 2012Q4, the results show that PE significantly jumps...

This study examines the causal link between short interest ratio and equity market return and their respective impulse response functions. Based on the analysis of monthly data from 1931M6 to 2012M12, the results reveal that there is a causal link between NYSE short interest ratio and the...

Using the vector autoregression (VAR) analysis, this study empirically documents the impulse response functions of financial stress and market risk premiums and performs a causality test of these two variables. The analysis of the monthly changes of the Federal Reserve Bank of St. Louis...

This study employs the vector autoregression (VAR) analysis to empirically report the impulse response functions of economic policy certainty and financial stress. A causality test of these two variables is also performed. The analysis of the monthly changes in the economic policy uncertainty...

This study examines the dynamic response of the S&P 500 price-to-earnings ratio (PE) to credit spread (CS) shock and causal direction between these two variables. Based on the analysis of monthly data from 1919M1 to 2013M8, the VAR results reveal that PE significantly jumps immediately following...