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Applied Economics Letters Volume 10, 2003 - Issue 7
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Original Articles

Non-linear cointegration between stock prices and dividends

A. Kanas Department of Economics, University of Crete, 74100 Rethymnon, Crete, Greece, E-mail: [email protected]
Pages 401-405 | Published online: 22 Oct 2010

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Read on this site (4)

Yan-Yong Zhao, Xu-Guo Ye & Zhong-Cheng Han. (2020) A multivariate cointegration time series model and its applications in analysing stock markets in China. Economic Research-Ekonomska Istraživanja 33:1, pages 698-711.
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Vicente Esteve & María A. Prats. (2010) Threshold cointegration and nonlinear adjustment between stock prices and dividends. Applied Economics Letters 17:4, pages 405-410.
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Vicente Esteve & María A. Prats. (2008) Are there threshold effects in the stock price–dividend relation? The case of the US stock market, 1871–2004. Applied Financial Economics 18:19, pages 1533-1537.
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Kim Hiang Liow. (2008) Financial Crisis and Asian Real Estate Securities Market Interdependence: Some Additional Evidence. Journal of Property Research 25:2, pages 127-155.
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Articles from other publishers (10)

Sudatta Bharati Mohapatra & Nirmal Chandra Kar. (2022) Revisiting the Long-Run Dynamic Linkage between Dividends and Share Price with Advanced Panel Econometrics Techniques. Journal of Risk and Financial Management 15:10, pages 486.
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Vicente Esteve, Manuel Navarro-Ibáñez & María A. Prats. (2020) Stock prices, dividends, and structural changes in the long-term: The case of U.S.. The North American Journal of Economics and Finance 52, pages 101126.
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R. Gopinathan & S. Raja Sethu Durai. (2019) Stock market and macroeconomic variables: new evidence from India. Financial Innovation 5:1.
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Silvio John Camilleri, Luke Grima & Simon Grima. (2019) The effect of dividend policy on share price volatility: an analysis of Mediterranean banks’ stocks. Managerial Finance 45:2, pages 348-364.
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Stephen G. Hall, P.A.V.B. Swamy & George S. Tavlas. (2014) A NOTE ON GENERALIZING THE CONCEPT OF COINTEGRATION. Macroeconomic Dynamics 19:7, pages 1633-1646.
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P.S. Nirmala, P.S. Sanju & M. Ramachandran. (2014) Long-run causal nexus between share price and dividend. Journal of Asia Business Studies 8:2, pages 136-145.
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Vasco J. Gabriel & Luis F. Martins. (2010) Cointegration tests under multiple regime shifts: An application to the stock price–dividend relationship. Empirical Economics 41:3, pages 639-662.
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Jian Zhou. (2010) Testing for Cointegration between House Prices and Economic Fundamentals. Real Estate Economics 38:4, pages 599-632.
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Erwin Andreas Tumengkol. (2011) Evidence of Rational Bubble in Indonesian Stock Market. SSRN Electronic Journal.
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Erwin Andreas Tumengkol. (2011) Evidence of Rational Bubble in Indonesia Stock Market. SSRN Electronic Journal.
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