Do business cycles, investment-specific technology shocks matter for stock returns?
| Autor: | C. T. Vidya, K.P. Prabheesh |
|---|---|
| Rok vydání: | 2018 |
| Předmět: |
Economics and Econometrics
050208 finance Liberalization Financial economics media_common.quotation_subject 05 social sciences Financial market Stock market bubble Interest rate Stock exchange 0502 economics and business Business cycle Economics Stock market 050207 economics Stock (geology) media_common |
| Zdroj: | Economic Modelling. 70:511-524 |
| ISSN: | 0264-9993 |
| DOI: | 10.1016/j.econmod.2017.09.014 |
| Popis: | This paper empirically analyzes the dynamic relationship between business cycle, investment-specific technology shocks, and stock returns in the Indian context. Using Structural VAR technique the study finds: (1) business cycle shocks and stock market returns are more pronounced, especially during the financial market liberalization (2) the dominant role of global cycles over country cycles in explaining stock returns (3) interest rate plays an important role to interact the business cycle dynamics and stock returns (4) a relatively weak effect of investment-specific technology shocks on the business cycle and stock returns. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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