Macroeconomic variables and long-term stock market performance. A panel ARDL cointegration approach for G7 countries

Citation

Humpe A & McMillan DG (2020) Macroeconomic variables and long-term stock market performance. A panel ARDL cointegration approach for G7 countries. Cogent Economics and Finance, 8, Art. No.: 1816257. https://doi.org/10.1080/23322039.2020.1816257

Abstract
Based on the present value model for stock prices, we utilise a pooled mean group estimator for panel ARDL cointegration to estimate the long-run relationship between G7 stock prices and macroeconomic variables over the last 40 years. We find a positive long-run relation between stock prices, industrial production and consumer prices as well as a negative relationship with real 10-year interest rates.

Keywords
cointegration; stock market; macroeconomy; G12; G7; C32; E44

Journal
Cogent Economics and Finance: Volume 8

People

Professor David McMillan

Professor in Finance, Accounting & Finance