LONG-RUN RELATIONSHIP BETWEEN ECONOMIC GROWTH AND STOCK RETURNS: AN EMPIRICAL INVESTIGATION ON CANADA AND THE UNITED STATES

• Authors: Sawhney Bansi , Anoruo Emmanuel , Feridun Mete
• Languages of publication: EN

Abstracts

EN

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 modelling process. The 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.

Keywords

EN

ECONOMIC GROWTH; INTEREST RATES; STOCK PRICES; STOCK RETURNS

Discipline

• ECONOMICS: ECONOMICS

• Publisher: Institute of Slovak and World Economics and Institute for Forecasting, Slovak Academy of Sciences
• Journal: Ekonomický časopis (Journal of Economics)
• Year: 2006
• Volume: 54
• Issue: 6
• Pages: 584-596
• Document type: ARTICLE

Contributors

author

Sawhney Bansi

author

Anoruo Emmanuel

author

Feridun Mete

• B. Sawhney, Ekonomický ústav SAV, Sancová 56, 811 05 Bratislava 1, Slovak Republic

Identifiers

CEJSH db identifier

06SKAAAA01603508