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Causal relations among stock returns and macroeconomic variables in a small, open economy
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Causal relations among stock returns and macroeconomic variables in a small, open economy (1999)Causal relations among stock returns and …Oil and the Stock Markets (1996)Oil and the Stock MarketsCausal Relations Among Stock Returns, Interest Rates, Real Activity, and Inflation (1992)Causal Relations Among Stock …Testing for a Unit Root in Time Series Regression (1988)Testing for a Unit Root in Ti…An empirical examination of the Arbitrage Pricing Theory (1988)An empirical examination of t…Stock returns and inflation (1987)Stock returns and inflationEconomic Forces and the Stock Market (1986)Economic Forces and the Stock…A VARMA Analysis of the Causal Relations Among Stock Returns, Real Output, and Nominal Interest Rates (1985)A VARMA Analysis of the Causa…The Fiscal and Monetary Linkage Between Stock Returns and Inflation (1983)The Fiscal and Monetary Linka…Stock Returns, Real Activity, Inflation, and Money (1981)Stock Returns, Real Activity,…Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Likelihood Ratio Statistics f…Macroeconomics and Reality (1980)Macroeconomics and RealityComparison of Interwar and Postwar Business Cycles: Monetarism Reconsidered (1980)Comparison of Interwar and Po…Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Distribution of the Estimator…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimator…Asset returns and inflation (1977)Asset returns and inflationWhat do we know about oil prices and stock returns? (2018)What do we know about oil pri…Returns and volatility linkages between international crude oil price, metal and other stock indices in India: Evidence from VAR-DCC-GARCH models (2016)Returns and volatility linkag…The Effects of Oil Price Shocks on Stock Market Volatility: Evidence from European Data (2013)The Effects of Oil Price Shoc…Oil and stock returns: Evidence from European industrial sector indices in a time-varying environment (2013)Oil and stock returns: Eviden…Financial and monetary policy responses to oil price shocks: evidence from oil-importing and oil-exporting countries (2013)Financial and monetary policy…PENGARUH INFLASI, SUKU BUNGA, KURS, DAN PERTUMBUHAN PDB TERHADAP INDEKS HARGA SAHAM GABUNGAN (2012)PENGARUH INFLASI, SUKU BUNGA,…Oil price volatility and stock price fluctuations in an emerging market: Evidence from South Korea (2011)Oil price volatility and stoc…Macro economy, stock market and oil prices: Do meaningful relationships exist among their cyclical fluctuations? (2010)Macro economy, stock market a…Macroeconomic determinants of Malaysian stock market (2009)Macroeconomic determinants of…Wavelet analysis of stock returns and aggregate economic activity (2007)Wavelet analysis of stock ret…Oil prices and stock markets in GCC countries: new evidence from nonlinear cointegration analysis (2007)Oil prices and stock markets …Oil Price Shocks and Emerging Stock Markets: A Generalized VAR Approach (2006)Oil Price Shocks and Emerging…Macroeconomic Variables and Stock Market Interactions: New Zealand Evidence (2006)Macroeconomic Variables and S…Stock market and aggregate economic activity: evidence from Australia (2004)Stock market and aggregate ec…Macroeconomic variables and the Malaysian equity market (2003)Macroeconomic variables and t…Macroeconomic influences on the stock market (2001)Macroeconomic influences on t…MONEY, INCOME, AND CAUSALITY (1972)Efficient Capital Markets: II (1991)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)A Monetary History of the United States 1867-1960 (1964)Time Series Analysis Forecasting and Control. (1971)Time Series Analysis: Forecasting and Control (1977)Statistical analysis of cointegration vectors (1988)Bounds testing approaches to the analysis of level relationships (2001)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)Expected stock returns and volatility (1987)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)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Time Series Analysis: Forecasting and Control (1977)Stock Returns and the Term Structure (1985)Stock Returns, Expected Returns, and Real Activity (1990)Oil price shocks and stock market activity (1999)Trends and random walks in macroeconmic time series (1982)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)A simple panel unit root test in the presence of cross‐section dependence (2007)Oil and the Macroeconomy since World War II (1983)Energy shocks and financial markets (1996)Oil price shocks and stock markets in the U.S. and 13 European countries (2008)Investigating Causal Relations by Econometric Models and Cross-Spectral Methods (2010)Oil prices, US stock return, and the dependence between their quantiles (2015)Unit root tests in panel data: asymptotic and finite-sample properties (2002)Testing for unit roots in heterogeneous panels (2003)
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References

  • 1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root23,183 cited
  • 1988Testing for a Unit Root in Time Series Regression19,288 cited
  • 1981Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root14,647 cited
  • 1980Macroeconomics and Reality12,826 cited
  • 1979Distribution of the Estimators for Autoregressive Time Series With a Unit Root9,128 cited
  • 1986Economic Forces and the Stock Market5,258 cited
  • 1977Asset returns and inflation2,701 cited
  • 1981Stock Returns, Real Activity, Inflation, and Money2,632 cited
  • 1996Oil and the Stock Markets1,611 cited
  • 1983The Fiscal and Monetary Linkage Between Stock Returns and Inflation978 cited
  • 1992Causal Relations Among Stock Returns, Interest Rates, Real Activity, and Inflation551 cited
  • 1987Stock returns and inflation426 cited
  • 1980Comparison of Interwar and Postwar Business Cycles: Monetarism Reconsidered410 cited
  • 1988An empirical examination of the Arbitrage Pricing Theory277 cited
  • 1985A VARMA Analysis of the Causal Relations Among Stock Returns, Real Output, and Nominal Interest Rates136 cited

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Cited by

  • 2018What do we know about oil prices and stock returns?266 cited
  • 2010Macro economy, stock market and oil prices: Do meaningful relationships exist among their cyclical fluctuations?259 cited
  • 2003Macroeconomic variables and the Malaysian equity market248 cited
  • 2011Oil price volatility and stock price fluctuations in an emerging market: Evidence from South Korea234 cited
  • 2006Macroeconomic Variables and Stock Market Interactions: New Zealand Evidence226 cited
  • 2012PENGARUH INFLASI, SUKU BUNGA, KURS, DAN PERTUMBUHAN PDB TERHADAP INDEKS HARGA SAHAM GABUNGAN202 cited
  • 2007Wavelet analysis of stock returns and aggregate economic activity200 cited
  • 2013The Effects of Oil Price Shocks on Stock Market Volatility: Evidence from European Data186 cited
  • 2013Oil and stock returns: Evidence from European industrial sector indices in a time-varying environment172 cited
  • 2007Oil prices and stock markets in GCC countries: new evidence from nonlinear cointegration analysis165 cited
  • 2013Financial and monetary policy responses to oil price shocks: evidence from oil-importing and oil-exporting countries162 cited
  • 2016Returns and volatility linkages between international crude oil price, metal and other stock indices in India: Evidence from VAR-DCC-GARCH models159 cited
  • 2006Oil Price Shocks and Emerging Stock Markets: A Generalized VAR Approach147 cited
  • 2009Macroeconomic determinants of Malaysian stock market138 cited
  • 2001Macroeconomic influences on the stock market138 cited
  • 2004Stock market and aggregate economic activity: evidence from Australia130 cited