Feridun, Mete (2006): Long-Run Relationship between Economic Growth and Stock Returns: An Empirical Investigation on Canada and the United States. Published in: Ekonomicky Casopis , Vol. 54, No. 6 (September 2006): pp. 584-596.
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This article examines the long run relationship between economic growth and stock prices for Canada and the United States through cointegration estimation procedure, and it implements the Vector Error Correction Models (VECM) to abstract simultaneously the short- and long-run information in the modeling process. Results from the cointegration tests reveal that economic growth and stock prices share long run equilibrium relationship for both Canada and the U.S. The results from the VECM indicate that for the U.S., causality runs from economic growth to stock prices but not vice versa. However for Canada, the results reveal that there is a bi-directional causality between economic growth and stock prices.
|Item Type:||MPRA Paper|
|Original Title:||Long-Run Relationship between Economic Growth and Stock Returns: An Empirical Investigation on Canada and the United States|
|Keywords:||stock returns; interest rates; economic growth; Canada; the United tates S|
|Subjects:||E - Macroeconomics and Monetary Economics > E0 - General|
|Depositing User:||Mete Feridun|
|Date Deposited:||09. Nov 2006|
|Last Modified:||12. Feb 2013 12:30|
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