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Conventional Nonlinear Relationships between GDP, Inflation and Stock Market Returns. An Investigation for the Greek Economy

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  • Dikaios Tserkezos

    (Department of Economics, University of Crete, Greece)

  • Eleni Thanou

Abstract

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  • Dikaios Tserkezos & Eleni Thanou, 2007. "Conventional Nonlinear Relationships between GDP, Inflation and Stock Market Returns. An Investigation for the Greek Economy," Working Papers 0731, University of Crete, Department of Economics.
    • Handle: RePEc:crt:wpaper:0731
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    File URL: http://economics.soc.uoc.gr/wpa/docs/0731.pdf
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    References listed on IDEAS

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    4. Kaul, Gautam, 1987. "Stock returns and inflation : The role of the monetary sector," Journal of Financial Economics, Elsevier, vol. 18(2), pages 253-276, June.
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    11. James, Christopher & Koreisha, Sergio & Partch, Megan, 1985. "A VARMA Analysis of the Causal Relations among Stock Returns, Real Output, and Nominal Interest Rates," Journal of Finance, American Finance Association, vol. 40(5), pages 1375-1384, December.
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    17. Lee, Bong-Soo, 1992. "Causal Relations among Stock Returns, Interest Rates, Real Activity, and Inflation," Journal of Finance, American Finance Association, vol. 47(4), pages 1591-1603, September.
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    26. Hess, Patrick J & Lee, Bong-Soo, 1999. "Stock Returns and Inflation with Supply and Demand Disturbances," The Review of Financial Studies, Society for Financial Studies, vol. 12(5), pages 1203-1218.
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    28. Omran, Mohammed & Pointon, John, 2001. "Does the inflation rate affect the performance of the stock market? The case of Egypt," Emerging Markets Review, Elsevier, vol. 2(3), pages 263-279, September.
    29. Phillips, P C B, 1987. "Time Series Regression with a Unit Root," Econometrica, Econometric Society, vol. 55(2), pages 277-301, March.
    30. Hartley, Peter R. & Whitt Jr, Joseph A., 2003. "Macroeconomic fluctuations: Demand or supply, permanent or temporary?," European Economic Review, Elsevier, vol. 47(1), pages 61-94, February.
    31. Mark Crosby, 2001. "Stock Returns and Inflation," Australian Economic Papers, Wiley Blackwell, vol. 40(2), pages 156-165, June.
    32. Apergis, Nicholas & Eleftheriou, Sophia, 2002. "Interest rates, inflation, and stock prices: the case of the Athens Stock Exchange," Journal of Policy Modeling, Elsevier, vol. 24(3), pages 231-236, June.
    33. Chauvet, Marcelle & Potter, Simon, 2000. "Coincident and leading indicators of the stock market," Journal of Empirical Finance, Elsevier, vol. 7(1), pages 87-111, May.
    34. Bahram Adrangi & Arjun Chatrath & Kambiz Raffiee, 1999. "Inflation, output, and stock prices: Evidence from two major emerging markets," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 23(3), pages 266-278, September.
    35. Bhar, Ramaprasad & Hamori, Shigeyuki, 2004. "Empirical characteristics of the permanent and transitory components of stock return: analysis in a Markov switching heteroscedasticity framework," Economics Letters, Elsevier, vol. 82(2), pages 157-165, February.
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    More about this item

    Keywords

    Economic growth; capital markets; non-linear causality tests;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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