866
Views
3
CrossRef citations to date
0
Altmetric
Original Articles

Time series analysis of the relationships among (macro) economic variables, the dividend yield and the price level of the S&P 500 Index

&
Pages 1117-1134 | Published online: 05 Apr 2011

References

  • Ang , A and Chen , J . 2007 . CAPM over the long run: 1926–2001 . Journal of Empirical Finance , 14 : 1 – 40 .
  • Brandt , MW and Kang , Q . 2004 . On the relationship between the conditional mean and volatility of stock returns: a latent VAR approach . Journal of Financial Economics , 72 : 217 – 57 .
  • Campbell , JY and Cochrane , JH . 1999 . By force of habit: a consumption-based explanation of aggregate stock market behavior . The Journal of Political Economy , 107 : 205 – 51 .
  • Campbell , JY and Shiller , RJ . 1988 . The dividend-price ratio and expectations of future dividends and discount factors . The Review of Financial Studies , 1 : 195 – 228 .
  • Campbell , JY and Shiller , RJ . 1998 . Valuation ratios and the long-run stock market outlook . The Journal of Portfolio Management , 24 : 11 – 26 .
  • Chen , N-F . 1991 . Financial investment opportunities and the macroeconomy . The Journal of Finance , 46 : 529 – 54 .
  • Chen , N-F , Roll , R and Ross , SA . 1986 . Economic forces and the stock market . The Journal of Business , 59 : 383 – 403 .
  • Cheung , Y-W and Lai , KS . 1999 . Macroeconomic determinants of long-term stock market comovements among major EMS countries . Applied Financial Economics , 9 : 73 – 85 .
  • Cheung , Y-W and Ng , LK . 1998 . International evidence on the stock market and aggregate economic activity . Journal of Empirical Finance , 5 : 281 – 96 .
  • Enders , W . 2010 . Applied Econometric Time Series, , 3rd , Hoboken : John Wiley & Sons .
  • Engle , RF and Granger , CW . 1987 . Co-integration and error correction: representation, estimation, and testing . Econometrica , 55 : 251 – 76 .
  • Fama , EF . 1981 . Stock returns, real activity, inflation, and money . The American Economic Review , 71 : 545 – 65 .
  • Fama , EF . 1990 . Stock returns, expected returns, and real activity . The Journal of Finance , 45 : 1089 – 108 .
  • Fama , EF and Gibbons , MR . 1982 . Inflation, real returns, and capital investments . Journal of Monetary Economics , 9 : 297 – 323 .
  • Fama , EF and Schwert , WG . 1977 . Asset returns and inflation . Journal of Financial Economics , 5 : 115 – 46 .
  • Federal Reserve Bank of St. Louis (2010) Economic Research: Federal Reserve Bank of St. Louis. Available at http://research.stlouisfed.org/ (accessed 2 November 2010).
  • Ferson , WE and Harvey , CR . 1991 . The variation of economic risk premiums . The Journal of Political Economy , 99 : 385 – 415 .
  • Gordon , MJ . 1962 . The savings investment and valuation of a corporation . The Review of Economics and Statistics , 44 : 37 – 51 .
  • Gordon , MJ and Shapiro , E . 1956 . Capital equipment analysis: the required rate of profit . Management Science , 3 : 102 – 10 .
  • Highlight Investments Group (2010) S&P 500 Index Description Market Volume. Available at http://www.marketvolume.com/indexes_exchanges/sp500_description.asp (accessed 25 May 2010).
  • Hsing , Y and Hsieh , W-J . 2004 . Impacts of monetary, fiscal and exchange rate policies on output in China: a VAR approach . Economics of Planning , 37 : 125 – 39 .
  • Humpe , A and Macmillan , P . 2009 . Can macroeconomic variables explain long-term stock market movements? A comparison of the US and Japan . Applied Financial Economics , 19 : 111 – 19 .
  • Johansen , S . 1991 . Estimation and hypothesis testing of cointegrating vectors in Gaussian vector autoregressive models . Econometrica , 59 : 1551 – 80 .
  • Johansen , S and Juselius , K . 1990 . Maximum likelihood estimation and inference on cointegration – with applications to the demand for money . Oxford Bulletin of Economics and Statistics , 52 : 169 – 210 .
  • Kindleberger , CP and Aliber , R . 2005 . Manias, Panics, and Crashes: A History of Financial Crises , Hoboken : John Wiley & Sons, Inc. .
  • Koop , G . 2009 . Analysis of Economic Data, , 3rd, , West Sussex : John Wiley & Sons, Ltd. .
  • Kwon , CS and Shin , TS . 1999 . Cointegration and causality between macroeconomic variables and stock market returns . Global Finance Journal , 10 : 71 – 81 .
  • Malkiel , BG . 2003 . A Random Walk Down Wall Street , New York : W. W. Norton & Company, Inc. .
  • Mandelker , G and Tandon , K . 1985 . Common stock returns, real activity, money, and inflation: some international evidence . Journal of International Money and Finance , 4 : 267 – 86 .
  • Masih , R and Masih , AM . 1996 . Macroeconomic activity dynamics and Granger causality: new evidence from a small developing economy based on a vector error-correction modelling analysis . Economic Modelling , 13 : 407 – 26 .
  • Molodovsky , N . 1968 . Stock values and stock prices . Financial Analysts Journal , 24 : 134 – 48 .
  • Mukherjee , TK and Naka , A . 1995 . Dynamic relations between macroeconomic variables and the Japanese stock market: an application of a vector error correction model . The Journal of Financial Research , 18 : 223 – 37 .
  • Pesaran , HH and Shin , Y . 1998 . Generalized impulse response analysis in linear multivariate models . Economic Letters , 58 : 17 – 29 .
  • Pinto , J , Henry , E , Robinson , T and Stowe , J . 2010 . Discounted Dividend Valuation – Equity Level II , 315 – 20 . New York : CFA Institute .
  • Rose , PS . 1994 . Money and Capital Markets: The Financial System in an Increasingly Global Economy, , 5th , Burr Ridge, Boston, Sidney : Richard D, Irwin Inc. .
  • Shiller , RJ . 2000 . Irrational Exuberance , Princeton : Princeton University Press .
  • Shiller , RJ , Fischer , S and Friedman , BM . 1984 . Stock prices and social dynamics . Brookings Papers on Economic Activity , 2 : 457 – 510 .
  • Sjuib , F . 2009 . Causal chain in macroeconomic variables: evidence from recent experience in Indonesia . International Research Journal of Finance and Economics , 25 : 90 – 96 .
  • Yale University. Home page of Robert J. Shiller. Available at http://www.econ.yale.edu/~shiller/ (accessed 2 November 2010).

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.