Stock prices and macroeconomic factors: Some European evidence
Author
Abstract
Suggested Citation
DOI: 10.1016/j.iref.2015.08.004
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Andrew Ang & Geert Bekaert, 2007.
"Stock Return Predictability: Is it There?,"
The Review of Financial Studies, Society for Financial Studies, vol. 20(3), pages 651-707.
- Andrew Ang & Geert Bekaert, 2001. "Stock Return Predictability: Is it There?," NBER Working Papers 8207, National Bureau of Economic Research, Inc.
- Fischer, Stanley & Merton, Robert C., 1984.
"Macroeconomics and finance: The role of the stock market,"
Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 21(1), pages 57-108, January.
- Stanley Fischer & Robert C. Merton, 1984. "Macroeconomics and Finance: The Role of the Stock Market," NBER Working Papers 1291, National Bureau of Economic Research, Inc.
- Fama, Eugene F, 1981. "Stock Returns, Real Activity, Inflation, and Money," American Economic Review, American Economic Association, vol. 71(4), pages 545-565, September.
- Maio, Paulo & Philip, Dennis, 2015. "Macro variables and the components of stock returns," Journal of Empirical Finance, Elsevier, vol. 33(C), pages 287-308.
- Fernandez-Perez, Adrian & Fernández-Rodríguez, Fernando & Sosvilla-Rivero, Simón, 2014.
"The term structure of interest rates as predictor of stock returns: Evidence for the IBEX 35 during a bear market,"
International Review of Economics & Finance, Elsevier, vol. 31(C), pages 21-33.
- Adrian Fernandez-Perez & Fernando Fernández-Rodríguez & Simón Javier Sosvilla Rivero, 2013. "The term structure of interest rates as predictor of stock returns: Evidence for the IBEX 35 during a bear market," Documentos de Trabajo del ICAE 2013-19, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- Barro, Robert J. & Ursúa, José F., 2017.
"Stock-market crashes and depressions,"
Research in Economics, Elsevier, vol. 71(3), pages 384-398.
- Robert J. Barro & José F. Ursúa, 2009. "Stock-Market Crashes and Depressions," NBER Working Papers 14760, National Bureau of Economic Research, Inc.
- Schwert, G William, 1990.
"Stock Returns and Real Activity: A Century of Evidence,"
Journal of Finance, American Finance Association, vol. 45(4), pages 1237-1257, September.
- G. William Schwert, 1990. "Stock Returns and Real Activity: A Century of Evidence," NBER Working Papers 3296, National Bureau of Economic Research, Inc.
- Wasserfallen, Walter, 1989. "Macroeconomics news and the stock market: Evidence from Europe," Journal of Banking & Finance, Elsevier, vol. 13(4-5), pages 613-626, September.
- Fama, Eugene F, 1990. "Stock Returns, Expected Returns, and Real Activity," Journal of Finance, American Finance Association, vol. 45(4), pages 1089-1108, September.
- Chan, Louis K. C. & Karceski, Jason & Lakonishok, Josef, 1998. "The Risk and Return from Factors," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 33(2), pages 159-188, June.
- John H. Boyd & Jian Hu & Ravi Jagannathan, 2005.
"The Stock Market's Reaction to Unemployment News: Why Bad News Is Usually Good for Stocks,"
Journal of Finance, American Finance Association, vol. 60(2), pages 649-672, April.
- John H. Boyd & Ravi Jagannathan & Jian Hu, 2001. "The Stock Market's Reaction to Unemployment News: Why Bad News is Usually Good for Stocks," NBER Working Papers 8092, National Bureau of Economic Research, Inc.
- Nasseh, Alireza & Strauss, Jack, 2000. "Stock prices and domestic and international macroeconomic activity: a cointegration approach," The Quarterly Review of Economics and Finance, Elsevier, vol. 40(2), pages 229-245.
- Jareño, Francisco & Navarro, Eliseo, 2010. "Stock interest rate risk and inflation shocks," European Journal of Operational Research, Elsevier, vol. 201(2), pages 337-348, March.
- Rapach, David E. & Wohar, Mark E. & Rangvid, Jesper, 2005. "Macro variables and international stock return predictability," International Journal of Forecasting, Elsevier, vol. 21(1), pages 137-166.
- Kuosmanen, Petri & Nabulsi, Nasib & Vataja, Juuso, 2015. "Financial variables and economic activity in the Nordic countries," International Review of Economics & Finance, Elsevier, vol. 37(C), pages 368-379.
- Binswanger, Mathias, 2004. "Stock returns and real activity in the G-7 countries: did the relationship change during the 1980s?," The Quarterly Review of Economics and Finance, Elsevier, vol. 44(2), pages 237-252, May.
- Mark J. Flannery & Aris A. Protopapadakis, 2002. "Macroeconomic Factors Do Influence Aggregate Stock Returns," The Review of Financial Studies, Society for Financial Studies, vol. 15(3), pages 751-782.
- Andreas Humpe & Peter Macmillan, 2009. "Can macroeconomic variables explain long-term stock market movements? A comparison of the US and Japan," Applied Financial Economics, Taylor & Francis Journals, vol. 19(2), pages 111-119.
- McQueen, Grant & Roley, V Vance, 1993. "Stock Prices, News, and Business Conditions," The Review of Financial Studies, Society for Financial Studies, vol. 6(3), pages 683-707.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Yang, Jianlei, 2023. "Financial stabilization policy, market sentiment, and stock market returns," Finance Research Letters, Elsevier, vol. 52(C).
- Saqib Farid & Rubeena Tashfeen & Tahseen Mohsan & Arsal Burhan, 2023. "Forecasting stock prices using a data mining method: Evidence from emerging market," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(2), pages 1911-1917, April.
- Amina Malik & Babar Zaheer Butt & Haroon Aziz, 2022. "COVID-19 Entwined the Dynamic Relationship between Stock Returns and Macroeconomic Variables," Information Management and Business Review, AMH International, vol. 13(4), pages 11-22.
- Lai, Ya-Wen, 2017. "Macroeconomic factors and index option returns," International Review of Economics & Finance, Elsevier, vol. 48(C), pages 452-477.
- Swaray, Raymond & Salisu, Afees A., 2018. "A firm-level analysis of the upstream-downstream dichotomy in the oil-stock nexus," Global Finance Journal, Elsevier, vol. 37(C), pages 199-218.
- Fromentin, Vincent, 2022. "Time-varying causality between stock prices and macroeconomic fundamentals: Connection or disconnection?," Finance Research Letters, Elsevier, vol. 49(C).
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Guidolin, Massimo & Hyde, Stuart & McMillan, David & Ono, Sadayuki, 2009.
"Non-linear predictability in stock and bond returns: When and where is it exploitable?,"
International Journal of Forecasting, Elsevier, vol. 25(2), pages 373-399.
- Massimo Guidolin & Stuart Hyde & David McMillan & Sadayuki Ono, 2009. "Non-linear predictability in stock and bond returns: when and where is it exploitable?," Working Papers 2008-010, Federal Reserve Bank of St. Louis.
- Celebi, Kaan & Hönig, Michaela, 2018. "Dynamic macroeconomic effects on the German stock market before and after the financial crisis," Working Paper Series 13, Frankfurt University of Applied Sciences, Faculty of Business and Law.
- Kaan Celebi & Michaela Hönig, 2019. "The Impact of Macroeconomic Factors on the German Stock Market: Evidence for the Crisis, Pre- and Post-Crisis Periods," IJFS, MDPI, vol. 7(2), pages 1-13, March.
- Rapach, David E. & Wohar, Mark E. & Rangvid, Jesper, 2005. "Macro variables and international stock return predictability," International Journal of Forecasting, Elsevier, vol. 21(1), pages 137-166.
- Du, Ding & Denning, Karen & Zhao, Xiaobing, 2012. "Real aggregate activity and stock returns," Journal of Economics and Business, Elsevier, vol. 64(5), pages 323-337.
- Chang, Kuang-Liang, 2009. "Do macroeconomic variables have regime-dependent effects on stock return dynamics? Evidence from the Markov regime switching model," Economic Modelling, Elsevier, vol. 26(6), pages 1283-1299, November.
- Kevin P. Evans & Alan E. H. Speight, 2006. "Real‐Time Risk Pricing Over the Business Cycle: Some Evidence for the UK," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 33(1‐2), pages 263-283, January.
- Mark J. Flannery & Aris A. Protopapadakis, 2002. "Macroeconomic Factors Do Influence Aggregate Stock Returns," The Review of Financial Studies, Society for Financial Studies, vol. 15(3), pages 751-782.
- David G. McMillan, 2021. "Predicting GDP growth with stock and bond markets: Do they contain different information?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(3), pages 3651-3675, July.
- Tsouma, Ekaterini, 2009. "Stock returns and economic activity in mature and emerging markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 49(2), pages 668-685, May.
- Henryk Gurgul & Milena Suliga & Tomasz Wojtowicz, 2012.
"Responses of the Warsaw Stock Exchange to the U.S. macroeconomic data announcements,"
Managerial Economics, AGH University of Science and Technology, Faculty of Management, vol. 12, pages 41-59.
- Gurgul, Henryk & Suliga, Milena & Wójtowicz, Tomasz, 2012. "Responses of the Warsaw Stock Exchange to the U.S. macroeconomic data announcements," MPRA Paper 68578, University Library of Munich, Germany, revised 2012.
- Numan Ülkü & Duminda Kuruppuarachchi, 2015. "Stock Market's Response to Real Output Shocks: Connection Restored but Delayed," International Review of Finance, International Review of Finance Ltd., vol. 15(4), pages 613-622, December.
- Jakob B Madsen & E Philip Davis, 2006.
"Equity Prices, Productivity Growth and 'The New Economy',"
Economic Journal, Royal Economic Society, vol. 116(513), pages 791-811, July.
- Jakob B Madsen & E Philip Davis, 2003. "Equity Prices, Productivity Growth, And ‘The New Economy’," Economics and Finance Discussion Papers 03-04, Economics and Finance Section, School of Social Sciences, Brunel University.
- Jakob B. Madsen & E. Philip Davis, 2004. "Equity Prices, Productivity Growth, and the 'New Economy'," EPRU Working Paper Series 04-05, Economic Policy Research Unit (EPRU), University of Copenhagen. Department of Economics.
- Jakob B. Madsen & E. Philip Davis, 2004. "Equity Prices, Productivity Growth and 'The New Economy," FRU Working Papers 2004/11, University of Copenhagen. Department of Economics. Finance Research Unit.
- Jakob B Madsen & E Philip Davis, 2003. "Equity Prices, Productivity Growth, And ‘The New Economy’," Public Policy Discussion Papers 03-04, Economics and Finance Section, School of Social Sciences, Brunel University.
- Qureshi, Fiza & Khan, Habib Hussain & Rehman, Ijaz Ur & Ghafoor, Abdul & Qureshi, Saba, 2019. "Mutual fund flows and investors’ expectations in BRICS economies: Implications for international diversification," Economic Systems, Elsevier, vol. 43(1), pages 130-150.
- Lamont, Owen A., 2001.
"Economic tracking portfolios,"
Journal of Econometrics, Elsevier, vol. 105(1), pages 161-184, November.
- Owen Lamont, "undated". "Economic Tracking Portfolios."," CRSP working papers 489, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
- Owen Lamont, 1999. "Economic Tracking Portfolios," NBER Working Papers 7055, National Bureau of Economic Research, Inc.
- Lyócsa, Štefan & Výrost, Tomáš & Baumöhl, Eduard, 2012. "Breakdowns and revivals: the long-run relationship between the stock market and real economic activity in the G-7 countries," MPRA Paper 43306, University Library of Munich, Germany.
- Syed Jawad Hussain Shahzad & Dene Hurley & Román Ferrer, 2021. "U.S. stock prices and macroeconomic fundamentals: Fresh evidence using the quantile ARDL approach," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(3), pages 3569-3587, July.
- Antonio Díaz & Francisco Jareño, 2013. "Inflation news and stock returns: market direction and flow-through ability," Empirical Economics, Springer, vol. 44(2), pages 775-798, April.
- Davis, E. Philip & Madsen, Jakob B., 2008. "Productivity and equity market fundamentals: 80 years of evidence for 11 OECD countries," Journal of International Money and Finance, Elsevier, vol. 27(8), pages 1261-1283, December.
- Shabir Mohsin Hashmi & Bisharat Hussain Chang, 2023. "Asymmetric effect of macroeconomic variables on the emerging stock indices: A quantile ARDL approach," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(1), pages 1006-1024, January.
More about this item
Keywords
Interest rates; Production; Stock prices;All these keywords.
JEL classification:
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:reveco:v:41:y:2016:i:c:p:287-294. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/inca/620165 .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.