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The behavior of the stock market in a developing economy
13 references·11 citing·39 second hop
The behavior of the stock market in a developing economy (1986)The behavior of the stock market in a dev…Exports and Economic Growth: Some Additional Evidence (1985)Exports and Economic Growth: …Monetary vs. Credit Aggregates: An Evaluation of Monetary Policy Targets (1984)Monetary vs. Credit Aggregate…Rational Expectations and the Impact of Money Upon Stock Prices (1982)Rational Expectations and the…Autoregressive modelling and money-income causality detection (1981)Autoregressive modelling and …Asset returns and inflation (1977)Asset returns and inflationA Comparative Analysis of Stock Price Behavior on the Bombay, London, and New York Stock Exchanges (1977)A Comparative Analysis of Sto…Money and stock prices (1974)Money and stock pricesEFFICIENT CAPITAL MARKETS AND THE QUANTITY THEORY OF MONEY (1974)EFFICIENT CAPITAL MARKETS AND…Money and Stock Prices: The Channels of Influences (1972)Money and Stock Prices: The C…MONEY AND STOCK PRICES: THE CHANNELS OF INFLUENCE (1972)MONEY AND STOCK PRICES: THE C…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)EFFICIENT CAPITAL MARKETS: A …Efficient Capital Markets: A Review of Theory and Empirical Work (1970)Efficient Capital Markets: A …Fitting autoregressive models for prediction (1969)Fitting autoregressive models…Relationship Between Conditional Volatility of Domestic Macroeconomic Factors and Conditional Stock Market Volatility: Some Further Evidence from India (2014)Relationship Between Conditio…Impact of Macroeconomic Variables on Economic Performance: An Empirical Study of India and Sri Lanka (2011)Impact of Macroeconomic Varia…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 be…Macroeconomic activities and stock prices in a South Pacific island economy (2007)Macroeconomic activities and …Macroeconomic Factors and Pakistani Equity Market” (2004)Macroeconomic Factors and Pak…Dynamic Relations Between Macroeconomic Factors and the Jordanian Stock Market (2004)Dynamic Relations Between Mac…Macroeconomic variables and the performance of the Indian Stock Market (1998)Macroeconomic variables and t…Efficiency of the Turkish Stock Exchange with respect to monetary variables: A cointegration analysis (1996)Efficiency of the Turkish Sto…Financial Sector Reforms and Exchange Arrangements in Eastern Europe (1993)Financial Sector Reforms and …A note on the informational efficiency of emerging stock markets (1993)A note on the informational e…Stock markets in developing countries : key issues and a research agenda (1990)Stock markets in developing c…Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)Causal relationship between macro-economic indicators and stock exchange prices in Pakistan (2010)LONG-RUN AND SHORT-RUN RELATIONSHIP BETWEEN MACROECONOMIC VARIABLES AND STOCK PRICES IN PAKISTAN The Case of Lahore Stock Exchange (2016)The Impact of Macroeconomic Indicators on Indian Stock Prices: An Empirical Analysis (2017)The Behavior of Stock-Market Prices (1965)The Random Character of Stock Market Prices (1968)Time Series Analysis: Forecasting and Control (1977)The behavior of stock prices on LDC markets (1985)Co-Movements of European Equity Markets Before and After the 1987 Crash (1997)Dividend Policy, Growth, and the Valuation of Shares (1961)The Reaction of Stock Prices to Unanticipated Changes in Money: A Note (1983)MACRO ECONOMETRICS OF STOCK PRICE FLUCTUATIONS (1993)Impact of Macroeconomic Variables on Stock Markets: Evidence from Emerging Markets (2015)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)Efficient Capital Markets: II (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)MONEY, INCOME, AND CAUSALITY (1972)Macroeconomics and Reality (1980)A note on the causal relationship between energy and GDP in Taiwan (2000)DOES FOREIGN DIRECT INVESTMENT PROMOTE ECONOMIC GROWTH? EVIDENCE FROM EAST ASIA AND LATIN AMERICA (2001)Causal Relationship between Energy Consumption and GDP Growth Revisited: A Dynamic Panel Data Approach (2008)Rational Expectations and the Theory of Price Movements (1961)Macroeconomic variables and stock prices in a small open economy: The case of Singapore (1997)Economic variables and stock market returns: evidence from the Athens stock exchange (2006)Private investment and economic growth in developing countries (1990)Alternative econometric approaches for analysing the role of the financial sector in economic growth: Time-series evidence from LDCs (1996)Economic Growth and Human Development (2000)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Users of the world, unite! The challenges and opportunities of Social Media (2009)Consistent model and moment selection procedures for GMM estimation with application to dynamic panel data models (2001)Tourism as a long-run economic growth factor: the Spanish case (2002)Estimation of Panel Vector Autoregression in Stata (2016)
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References

  • 1970EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*15,723 cited
  • 1970Efficient Capital Markets: A Review of Theory and Empirical Work13,616 cited
  • 1977Asset returns and inflation2,701 cited
  • 1969Fitting autoregressive models for prediction2,483 cited
  • 1981Autoregressive modelling and money-income causality detection710 cited
  • 1985Exports and Economic Growth: Some Additional Evidence421 cited
  • 1974Money and stock prices194 cited
  • 1977A Comparative Analysis of Stock Price Behavior on the Bombay, London, and New York Stock Exchanges159 cited
  • 1972MONEY AND STOCK PRICES: THE CHANNELS OF INFLUENCE133 cited
  • 1974EFFICIENT CAPITAL MARKETS AND THE QUANTITY THEORY OF MONEY92 cited
  • 1972Money and Stock Prices: The Channels of Influences79 cited
  • 1984Monetary vs. Credit Aggregates: An Evaluation of Monetary Policy Targets63 cited
  • 1982Rational Expectations and the Impact of Money Upon Stock Prices51 cited

Cited by

  • 2004Macroeconomic Factors and Pakistani Equity Market”107 cited
  • 2009The Short-Run Relationship between Stock Market Prices and Macroeconomic Variables in Lithuania: An Application of the Impulse Response Function

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70 cited
  • 1993Financial Sector Reforms and Exchange Arrangements in Eastern Europe65 cited
  • 2004Dynamic Relations Between Macroeconomic Factors and the Jordanian Stock Market61 cited
  • 1990Stock markets in developing countries : key issues and a research agenda60 cited
  • 1998Macroeconomic variables and the performance of the Indian Stock Market56 cited
  • 1996Efficiency of the Turkish Stock Exchange with respect to monetary variables: A cointegration analysis53 cited
  • 1993A note on the informational efficiency of emerging stock markets39 cited
  • 2007Macroeconomic activities and stock prices in a South Pacific island economy22 cited
  • 2014Relationship Between Conditional Volatility of Domestic Macroeconomic Factors and Conditional Stock Market Volatility: Some Further Evidence from India22 cited
  • 2011Impact of Macroeconomic Variables on Economic Performance: An Empirical Study of India and Sri Lanka14 cited