dc.contributor.author | BEKIROS, Stelios D. | |
dc.contributor.author | GUPTA, Rangan | |
dc.date.accessioned | 2016-01-12T14:41:22Z | |
dc.date.available | 2016-01-12T14:41:22Z | |
dc.date.issued | 2015 | |
dc.identifier.citation | Economics letters, 2015, Vol. 131, pp. 83-85 | en |
dc.identifier.issn | 0165-1765 | |
dc.identifier.issn | 1873-7374 | |
dc.identifier.uri | https://hdl.handle.net/1814/38370 | |
dc.description.abstract | Recent empirical evidence based on a linear framework tends to suggest that a Markov-switching version of the consumption-aggregate wealth ratio (View the MathML source), developed to account for structural breaks, is a better predictor of stock returns than the conventional measure (cay)—a finding we confirm as well. Using quarterly data over 1952:Q1–2013:Q3, we however provide statistical evidence that the relationship between stock returns and cay or View the MathML source is in fact nonlinear. Then, given this evidence of nonlinearity, using a nonparametric Granger causality test, we show that it is in fact cay and not View the MathML source which is a stronger predictor of not only stock returns, but also volatility. | en |
dc.language.iso | en | en |
dc.relation.ispartof | Economics letters | en |
dc.subject | Cay | en |
dc.subject | Stock markets | en |
dc.subject | Volatility | en |
dc.subject | Nonlinear causality | en |
dc.subject | C32 | en |
dc.subject | C58 | en |
dc.subject | G10 | en |
dc.subject | G17 | en |
dc.title | Predicting stock returns and volatility using consumption-aggregate wealth ratios : a nonlinear approach | en |
dc.type | Article | en |
dc.identifier.doi | 10.1016/j.econlet.2015.03.019 | |
dc.identifier.volume | 131 | en |
dc.identifier.startpage | 83 | en |
dc.identifier.endpage | 85 | en |