Stock market and aggregate economic activity: evidence from Australia

Kausik Chaudhuri and S. Smiles

Applied Financial Economics, 2004, vol. 14, issue 2, 121-129

Abstract: Using the multivariate cointegration methodology, this article documents the evidence of long-run relationships between real stock price and measures of aggregate real activity including real GDP, real private consumption, real money and the real price of oil in the Australian market. Real stock return in Australia is related to temporary departures from the long-run relationship and to changes in real macroeconomic activity. The results also document that the information provided by the cointegration contain some additional information that is not already present in other sources of return variation such as term spread, future GDP growth or shocks to term spread. On the other hand, the influence of other markets, especially stock return variation in the US and New Zealand markets, significantly affects Australian stock return movements.

Date: 2004
References: Add references at CitEc
Citations: View citations in EconPapers (39)

Downloads: (external link)
http://www.tandfonline.com/doi/abs/10.1080/0960310042000176399 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:apfiec:v:14:y:2004:i:2:p:121-129

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAFE20

DOI: 10.1080/0960310042000176399

Access Statistics for this article

Applied Financial Economics is currently edited by Anita Phillips

More articles in Applied Financial Economics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().