|
| << vorige | volgende >> |
Tijdschrift beschrijving
Alle jaargangen van het bijbehorende tijdschrift
Alle afleveringen van het bijbehorende jaargang
Alle artikelen van de bijbehorende aflevering
Details van artikel 57 van 190 gevonden artikelen
| Titel: |
Dynamic linkages and Granger causality between short-term US corporate bond and stock markets |
| Auteur: |
Rahman, Matiur Mustafa, Muhammad |
| Verschenen in: |
Applied economics letters |
| Paginering: | Jaargang 4 (1997) nr. 2 pagina's 89-91 |
| Jaar: |
1997-02 |
| Inhoud: |
It is sought to investigate a possible long-run association and Granger causality between US stock and short-term corporate bond markets by applying the well-known cointegration and error-correction methodology. The unit root tests reveal that the rates of return from S&P 500 and short-term US corporate bond yields are non-stationary in levels. The ADF test finds them cointegrated at 1, 5 and 10% levels of significance. The estimated error-correction model confirms a long-run relationship between these two markets. The short-term US corporate bond market appears to Granger-cause the US stock market in the long run. Furthermore, there appears to be a two-way short-run Granger causality and reversible feedback between these two markets. |
| Uitgever: |
Routledge |
| Bronbestand: |
Elektronische Wetenschappelijke Tijdschriften |
Details van artikel 57 van 190 gevonden artikelen
| << vorige | volgende >> |