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The impact of macroeconomic variables on industrial shares listed on the Johannesburg Stock Exchange
16 references·0 citing·43 second hopsampled
The impact of macroeconomic variables on industrial shares listed on the Johannesburg Stock Exchange (2019)The impact of macroeconomic variables on …What Explains the Stock Market's Reaction to Federal Reserve Policy? (2005)What Explains the Stock Marke…Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (2002)Further Evidence on the Great…Dynamic relationship between stock prices and exchange rates for G-7 countries (2001)Dynamic relationship between …Cointegration and causality between macroeconomic variables and stock market returns (1999)Cointegration and causality b…Statistical inference in vector autoregressions with possibly integrated processes (1995)Statistical inference in vect…DYNAMIC RELATIONS BETWEEN MACROECONOMIC VARIABLES AND THE JAPANESE STOCK MARKET: AN APPLICATION OF A VECTOR ERROR CORRECTION MODEL (1995)DYNAMIC RELATIONS BETWEEN MAC…A Stastistical Analysis of Cointegration for I(2) Variables (1995)A Stastistical Analysis of Co…Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (1992)Further Evidence on the Great…Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)Estimation and Hypothesis Tes…The Exchange-Rate Exposure of U.S. Multinationals (1990)The Exchange-Rate Exposure of…Stock Returns, Expected Returns, and Real Activity (1990)Stock Returns, Expected Retur…Statistical analysis of cointegration vectors (1988)Statistical analysis of coint…Economic Forces and the Stock Market (1986)Economic Forces and the Stock…STOCK PRICES, REAL ACTIVITY, INFLATION AND MONEY (1981)STOCK PRICES, REAL ACTIVITY, …Asset returns and inflation (1977)Asset returns and inflationINFLATION AND RATES OF RETURN ON COMMON STOCKS (1976)INFLATION AND RATES OF RETURN…Expectations and the neutrality of money (1972)MONEY, INCOME, AND CAUSALITY (1972)Efficient Capital Markets: II (1991)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)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)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics1 (1992)Bounds testing approaches to the analysis of level relationships (2001)Unit root tests in panel data: asymptotic and finite-sample properties (2002)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)The saving and investment nexus for China: evidence from cointegration tests (2005)Introductory Econometrics for Finance (2008)Testing for a Unit Root in Time Series Regression (1988)Tourism as a long-run economic growth factor: the Spanish case (2002)Energy consumption, income, and carbon emissions in the United States (2006)Energy consumption, carbon emissions, and economic growth in China (2009)Asset Prices in an Exchange Economy (1978)Expected stock returns and volatility (1987)Capital markets research in accounting (2001)Illiquidity and stock returns: cross-section and time-series effects (2002)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)Permanent and Temporary Components of Stock Prices (1988)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)Do Actions Speak Louder Than Words? The Response of Asset Prices to Monetary Policy Actions and Statements (2004)Capital regulation, risk-taking and monetary policy: A missing link in the transmission mechanism? (2011)Uncertainty about Government Policy and Stock Prices (2012)Residual-based tests for cointegration in models with regime shifts (1996)The Quarterly Journal of Economics (2024)
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References

  • 1988Statistical analysis of cointegration vectors17,038 cited
  • 1991Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models11,146 cited
  • 1995Statistical inference in vector autoregressions with possibly integrated processes6,202 cited
  • 2002Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis5,774 cited
  • 1986Economic Forces and the Stock Market5,258 cited
  • 1992Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis5,248 cited
  • 1977Asset returns and inflation2,701 cited
  • 1981STOCK PRICES, REAL ACTIVITY, INFLATION AND MONEY2,632 cited
  • 2005What Explains the Stock Market's Reaction to Federal Reserve Policy?2,382 cited
  • 1990Stock Returns, Expected Returns, and Real Activity1,553 cited
  • 1990The Exchange-Rate Exposure of U.S. Multinationals1,149 cited
  • 1995DYNAMIC RELATIONS BETWEEN MACROECONOMIC VARIABLES AND THE JAPANESE STOCK MARKET: AN APPLICATION OF A VECTOR ERROR CORRECTION MODEL692 cited
  • 1976INFLATION AND RATES OF RETURN ON COMMON STOCKS567 cited
  • 2001Dynamic relationship between stock prices and exchange rates for G-7 countries472 cited
  • 1999Cointegration and causality between macroeconomic variables and stock market returns

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361 cited
  • 1995A Stastistical Analysis of Cointegration for I(2) Variables350 cited
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