| Autor: |
R. Gopinathan, S. Raja Sethu Durai |
| Jazyk: |
angličtina |
| Rok vydání: |
2019 |
| Předmět: |
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| Zdroj: |
Financial Innovation, Vol 5, Iss 1, Pp 1-17 (2019) |
| Druh dokumentu: |
article |
| ISSN: |
2199-4730 |
| DOI: |
10.1186/s40854-019-0145-1 |
| Popis: |
Abstract Understanding the relationship between macroeconomic variables and the stock market is important because macroeconomic variables have a systematic effect on stock market returns. This study uses monthly data from India for the period from April 1994 to July 2018 to examine the long-run relationship between the stock market and macroeconomic variables. The empirical findings suggest that standard cointegration tests fail to identify any relationship among these variables. However, a transformation that extracts the actual functional relationship between these variables using the alternating conditional expectations algorithm of (J Am Stat Assoc 80:580–598, 1985) identifies strong evidence of cointegration and indicates nonlinearity in the long-run relationship. Further, the continuous partial wavelet coherency model identifies strong coherency at a lower frequency for the transformed variables, establishing the fact that the long-run relationship between stock prices and macroeconomic variables in India is nonlinear and time-varying. This evidence has far-reaching implications for understanding the dynamic relationships between the stock market and macroeconomic variables. |
| Databáze: |
Directory of Open Access Journals |
| Externí odkaz: |
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