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The Short-Run Relationship between Stock Market Prices and Macroeconomic Variables in Lithuania: An Application of the Impulse Response Function
16 references·4 citing·47 second hop
The Short-Run Relationship between Stock Market Prices and Macroeconomic Variables in Lithuania: An Application of the Impulse Response Function (2009)The Short-Run Relationship between Stock …Relationship between Interest Rate and Stock Price: Empirical Evidence from Developed and Developing Countries (2009)Relationship between Interest…Predicting the bear stock market: Macroeconomic variables as leading indicators (2008)Predicting the bear stock mar…The determinants of stock market development in the Middle‐Eastern and North African region (2007)The determinants of stock mar…Macroeconomic variables and the Malaysian equity market (2003)Macroeconomic variables and t…Stock prices and domestic and international macroeconomic activity: a cointegration approach (2000)Stock prices and domestic and…Cointegration and causality between macroeconomic variables and stock market returns (1999)Cointegration and causality b…International evidence on the stock market and aggregate economic activity (1998)International evidence on the…DYNAMIC RELATIONS BETWEEN MACROECONOMIC VARIABLES AND THE JAPANESE STOCK MARKET: AN APPLICATION OF A VECTOR ERROR CORRECTION MODEL (1995)DYNAMIC RELATIONS BETWEEN MAC…Causal Relations Among Stock Returns, Interest Rates, Real Activity, and Inflation (1992)Causal Relations Among Stock …Stock Returns and Real Activity: A Century of Evidence (1990)Stock Returns and Real Activi…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…Economic Forces and the Stock Market (1986)Economic Forces and the Stock…Stock Returns, Real Activity, Inflation, and Money (1981)Stock Returns, Real Activity,…Macroeconomics and Reality (1980)Macroeconomics and RealityAsset returns and inflation (1977)Asset returns and inflationDividend Policy, Growth, and the Valuation of Shares (1961)Dividend Policy, Growth, and …The Impact of Political Risk and Macro Economics on Stock Return at Indonesia Stock Exchange (An Approach of Arbritage Pricing Theory (APT)) (2019)The Impact of Political Risk …An Analytical Study of the Effect of Inflation on Stock Market Returns (2018)An Analytical Study of the Ef…Nexuses between Economic Factors and Stock Returns in China (2017)Nexuses between Economic Fact…Effects of Exchange Rate Volatility on the Stock Market: A Case Study of South Africa (2013)Effects of Exchange Rate Vola…MONEY, INCOME, AND CAUSALITY (1972)Efficient Capital Markets: II (1991)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Dynamic relationship between stock prices and exchange rates for G-7 countries (2001)Macroeconomic Variables and Stock Market Interactions: New Zealand Evidence (2006)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)An Intertemporal Capital Asset Pricing Model (1973)Risk, Return, and Equilibrium: Empirical Tests (1973)The arbitrage theory of capital asset pricing (1976)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Industry costs of equity (1997)Pitfalls in Financial Model-Building (1968)Conditional logit analysis of qualitative choice behavior (1972)"Rational" Expectations, the Optimal Monetary Instrument, and the Optimal Money Supply Rule (1975)Time to Build and Aggregate Fluctuations (1982)Postwar U.S. Business Cycles: An Empirical Investigation (1997)Generalized impulse response analysis in linear multivariate models (1998)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Testing for a Unit Root in Time Series Regression (1988)A vector error correction model of the Singapore stock market (2000)Stock market and macroeconomic fundamental dynamic interactions: ASEAN-5 countries (2002)Can macroeconomic variables explain long-term stock market movements? A comparison of the US and Japan (2008)DISTRIBUTION OF INCOMES OF CORPORATIONS AMONG DIVIDENDS, RETAINED EARNINGS AND TAXES (1956)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)The Behavior of Stock-Market Prices (1965)The Pricing of Options and Corporate Liabilities (1973)Determinants of corporate borrowing (1977)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)On Stock Market Returns and Monetary Policy (1997)Oil price shocks and stock market activity (1999)Consumer Confidence and Asset Prices: Some Empirical Evidence (2006)Investigating Causal Relations by Econometric Models and Cross-Spectral Methods (2010)Expected stock returns and volatility (1987)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)Business conditions and expected returns on stocks and bonds (1989)Predictable Stock Returns: The Role of Small Sample Bias (1993)Stock Prices, News, and Business Conditions (1993)Firm Size and Cyclical Variations in Stock Returns (2000)Statistical analysis of cointegration vectors (1988)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)Bounds testing approaches to the analysis of level relationships (2001)
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References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
  • 1980Macroeconomics and Reality12,826 cited
  • 1961Dividend Policy, Growth, and the Valuation of Shares6,554 cited
  • 1986Economic Forces and the Stock Market5,258 cited
  • 1977Asset returns and inflation2,701 cited
  • 1981Stock Returns, Real Activity, Inflation, and Money2,632 cited
  • 1990Stock Returns and Real Activity: A Century of Evidence733 cited
  • 1995DYNAMIC RELATIONS BETWEEN MACROECONOMIC VARIABLES AND THE JAPANESE STOCK MARKET: AN APPLICATION OF A VECTOR ERROR CORRECTION MODEL685 cited
  • 1992Causal Relations Among Stock Returns, Interest Rates, Real Activity, and Inflation551 cited
  • 1999Cointegration and causality between macroeconomic variables and stock market returns361 cited
  • 1998International evidence on the stock market and aggregate economic activity329 cited
  • 2009Relationship between Interest Rate and Stock Price: Empirical Evidence from Developed and Developing Countries284 cited
  • 2008Predicting the bear stock market: Macroeconomic variables as leading indicators283 cited
  • 2000Stock prices and domestic and international macroeconomic activity: a cointegration approach276 cited
  • 2003

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Macroeconomic variables and the Malaysian equity market
248 cited
  • 2007The determinants of stock market development in the Middle‐Eastern and North African region182 cited
  • Cited by

    • 2013Effects of Exchange Rate Volatility on the Stock Market: A Case Study of South Africa58 cited
    • 2018An Analytical Study of the Effect of Inflation on Stock Market Returns25 cited
    • 2017Nexuses between Economic Factors and Stock Returns in China20 cited
    • 2019The Impact of Political Risk and Macro Economics on Stock Return at Indonesia Stock Exchange (An Approach of Arbritage Pricing Theory (APT))20 cited