65
Views
3
CrossRef citations to date
0
Altmetric
Original Articles

The behaviour of stock returns and interest rates over the business cycle in the US and UK

Pages 233-238 | Published online: 06 Oct 2010

References

  • Andreou , E. , Osborn , D. R. and Sensier , M. 1999 . A comparison of the statistical properties of financial variables in the USA, UK and Germany over the business cycle, School of Economic Studies Discussion Paper Series , University of Manchester, No. 9909 Forthcoming in The Manchester School .
  • Artis , M. J. , Kontolemis , Z. G. and Osborn , D. R. 1997 . Business cycles for G7 and European countries . Journal of Business , 70 ( 2 ) : 249 – 279 .
  • Bollerslev , T. , Engle , R. F. and Nelson , D. B. 1994 . “ ARCH Models ” . In Handbook of Econometrics Vol. IV , 2659 – 3038 .
  • Conference Board . February 1998 . Business Cycle Indicators Vol. 2 , February , New York
  • Fama , E. F. and French , K. R. 1989 . Business conditions and expected returns on stocks and bonds . Journal of Financial Economics , 25 ( 1 ) : 23 – 49 .
  • Gray , S. F. 1996 . Modelling the conditional distribution of interest rates as a regime-switching process . Journal of Financial Economics , 42 ( 1 ) : 27 – 62 .
  • Hamilton , J. D. and Lin , G. 1996 . Stock market volatility and the business cycle . Journal of Applied Econometrics , 11 ( 5 ) : 573 – 593 .
  • Lumsdaine , R. L. 1996 . Consistency and asymptotic normality of the quasi-maximum likelihood estimator in IGARCH(1,1) and covariance stationary GARCH(1,1) models . Econometrica , 64 ( 3 ) : 575 – 596 .
  • Perez-Quiros , G. and Timmermann , A. 1996 . On business cycle variation in the mean, volatility and conditional distribution of stock returns , UCSD Discussion Paper, No. 96-13
  • Pesaran , M. H. and Pesaran , B. 1997 . Working with Microfit 4.0 , Oxford : Oxford University Press .
  • Schwert , G. W. Business cycles, financial crises and stock volatility . Carnegie Rochester Conference Series on Public Policy . Autumn . Vol. 31 , pp. 83 – 125 .
  • Whitelaw , R. F. 1994 . Time variations and covariations in the expectation and volatility of stock market returns . Journal of Finance , 49 : 515 – 542 .

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.