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On stocks, bonds and business conditions

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  • Anders Loflund
  • Kim Nummelin

Abstract

This paper examines the relations between Finnish and Swedish asset returns and conditional industrial production growth and risk, respectively, after controlling for the stage-of-the-business-cycle. We find that the analysis of the links between asset markets and the real economy is significantly enriched after controlling for local and global business conditions. We report significant links between asset returns and conditional production growth moments. The relations are also frequently state-dependent. As expected, bonds and stocks seem to react differently to real activity.

Suggested Citation

  • Anders Loflund & Kim Nummelin, 1997. "On stocks, bonds and business conditions," Applied Financial Economics, Taylor & Francis Journals, vol. 7(2), pages 137-146.
    • Handle: RePEc:taf:apfiec:v:7:y:1997:i:2:p:137-146
    DOI: 10.1080/096031097333709
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    Cited by:

    1. Penttinen, Aku, 2000. "Devaluation-risk-related peso problems in stock returns," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 10(2), pages 181-197, June.
    2. Jay Choi, Jongmoo & Hauser, Shmuel & Kopecky, Kenneth J., 1999. "Does the stock market predict real activity? Time series evidence from the G-7 countries," Journal of Banking & Finance, Elsevier, vol. 23(12), pages 1771-1792, December.
    3. Michael DeStefano, 2004. "Stock Returns and the Business Cycle," The Financial Review, Eastern Finance Association, vol. 39(4), pages 527-547, November.
    4. B. Jirasakuldech & Riza Emekter & Unro Lee, 2008. "Business conditions and nonrandom walk behaviour of US stocks and bonds returns," Applied Financial Economics, Taylor & Francis Journals, vol. 18(8), pages 659-672.

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