This document has not been cited yet.

1. Allen, D. and W. Yang (2004). Do uk stock prices deviate from fundamentals? Mathematics and computers in simulation 64(3), 373–383.

2. Allen, D. E. and W. J. Yang (2001). Variation of share prices due to fundamental and nonfundamental innovations.
   Paper not yet in RePEc: Add citation now
   

3. Binswanger, M. (2000). Stock market booms and real economic activity: Is this time different? International Review of Economics & Finance 9(4), 387–415.

4. Binswanger, M. (2004a). How do stock prices respond to fundamental shocks? Finance Research Letters 1(2), 90–99.

5. Binswanger, M. (2004b). How important are fundamentals? Evidence from a structural VAR model for the stock markets in the US, Japan and Europe. Journal of International Financial Markets, Institutions & Money 14(2), 185–201.

6. Binswanger, M. (2004c). Stock returns and real activity in the g-7 countries: Did the relationship change during the 1980s? The Quarterly Review of Economics and Finance 44(2), 237–252.

7. Blanchard, O. and D. Quah (1989). The dynamic effects of aggregate demand and supply disturbances. The American Economic Review 79(4), 655–673.

8. Canova, F. and G. De Nicolo (1995). Stock returns and real activity: A structural approach.

9. Cheung, Y. and L. Ng (1998). International evidence on the stock market and aggregate economic activity. Journal of Empirical Finance 5(3), 281–296.

10. Chung, H. and B. Lee (1998). Fundamental and nonfundamental components in stock prices of pacific-rim countries. Pacific-Basin Finance Journal 6(3), 321–346.

11. Erceg, C. J., L. Guerrieri, and C. Gust (2005). Can long-run restrictions identify technology shocks? Journal of the European Economic Association 3(6), 1237–1278.

12. Fama, E. F. (1990). Stock returns, expected returns, and real activity. The Journal of Finance 45(4), 1089–1108.

13. Gospodinov, N. (2010). Inference in nearly nonstationary SVAR models with long-run identifying restrictions. Journal of Business & Economic Statistics 28(1).

14. Hamilton, J. (1994). Time series analysis. Princeton Univ Pr.
    Paper not yet in RePEc: Add citation now
    
15. Hatipoglu, M., N. Uckun, and S. Terzi (2014). The impact of fundamental shocks on stock prices: Evidence from turkey. Research in Applied Economics 6(1), p61–p72.
    Paper not yet in RePEc: Add citation now
    

16. Herwartz, H. and H. Lütkepohl (2014). Structural vector autoregressions with markov switching: Combining conventional with statistical identification of shocks. Journal of Econometrics 183(1), 104–116.

17. Jean, R. and T. Eldomiaty (2010). How do stock prices respond to fundamental shocks in the case of the United States? Evidence from NASDAQ and DJIA. The Quarterly Review of Economics and Finance 50(3), 310–322.

18. Johansen, S. (1995). Likelihood-based inference in cointegrated vector autoregressive models. Oxford University Press, USA.

19. King, R., C. Plosser, J. Stock, and M. Watson (1992). Stochastic trends and economic fluctuations.
    Paper not yet in RePEc: Add citation now
    
20. Krolzig, H. (1997). Markov-Switching Vector Autoregressions–Modelling. Statistical Inference and Application to Business Cycle Analysis.
    Paper not yet in RePEc: Add citation now
    
21. Lütkepohl, H. (2005). New introduction to multiple time series analysis. Springer.
    Paper not yet in RePEc: Add citation now
    

22. Lanne, M. and H. Lütkepohl (2010). Structural vector autoregressions with nonnormal residuals. Journal of Business & Economic Statistics 28(1), 159–168.

23. Lanne, M., H. Lütkepohl, and K. Maciejowska (2010). Structural vector autoregressions with markov switching. Journal of Economic Dynamics and Control 34(2), 121–131.

24. Laopodis, N. (2009). Are fundamentals still relevant for european economies in the post-euro period? Economic Modelling 26(5), 835–850.

25. Laopodis, N. T. (2011). Equity prices and macroeconomic fundamentals: International evidence. Journal of International Financial Markets, Institutions and Money 21(2), 247–276.

26. Lee, B. (1995a). Fundamentals and bubbles in asset prices: Evidence from us and japanese asset prices. Asia-Pacific Financial Markets 2(2), 89–122.
    Paper not yet in RePEc: Add citation now
    

27. Lee, B. (1995b). The response of stock prices to permanent and temporary shocks to dividends. Journal of Financial and Quantitative Analysis 30(1).

28. Lee, B. (1998). Permanent, temporary, and non-fundamental components of stock prices. Journal of Financial and Quantitative Analysis 33, 1–32.

29. Lee, B.-S. (1996). Comovements of earnings, dividends, and stock prices. Journal of Empirical Finance 3(4), 327–346.

30. Nasseh, A. and J. Strauss (2000). Stock prices and domestic and international macroeconomic activity: a cointegration approach. The Quarterly Review of Economics and Finance 40(2), 229–245.

31. Pan, M.-S. (2007). Permanent and transitory components of earnings, dividends, and stock prices. The Quarterly Review of Economics and Finance 47(4), 535–549.

32. Podstawski, M. and A. Velinov (2016). The state dependent impact of bank exposure on sovereign risk. DIW discussion paper (1550).

33. Psaradakis, Z. and N. Spagnolo (2006). Joint determination of the state dimension and autoregressive order for models with markov regime switching. Journal of Time Series Analysis 27(5), 753–766.

34. Rapach, D. (2001). Macro shocks and real stock prices. Journal of Economics and Business 53(1), 5–26.

35. Rigobon, R. (2003). Identification through heteroskedasticity. Review of Economics and Statistics 85(4), 777–792.

36. Saikkonen, P . and H. Lütkepohl (2000). Testing for the cointegrating rank of a var process with structural shifts. Journal of business & economic statistics 18(4), 451–464.

37. Schwert, G. W. (1990). Stock returns and real activity: A century of evidence. The Journal of Finance 45(4), 1237–1257.

38. Shiller, R. J. (1981). Do stock prices move too much to be justified by subsequent changes in dividends? The American Economic Review, 421–436.

39. Summers, L. H. (1986). Does the stock market rationally reflect fundamental values? The Journal of Finance 41(3), 591–601.

40. Swanson, N. and C. Granger (1997). Impulse response functions based on a causal approach to residual orthogonalization in vector autoregressions. Journal of the American Statistical Association 92(437), 357–367.
    Paper not yet in RePEc: Add citation now
    

41. Velinov, A. and W. Chen (2015). Do stock prices reflect their fundamentals? new evidence in the aftermath of the financial crisis. Journal of Economics and Business 80, 1–20.

42. Vlaar, P. (2004). On the asymptotic distribution of impulse response functions with long-run restrictions. Econometric Theory 20(05), 891–903.

43. Waggoner, D. F. and T. Zha (2003). Likelihood preserving normalization in multiple equation models. Journal of Econometrics 114(2), 329–347.

44. Zhong, M., A. F. Darrat, and D. C. Anderson (2003). Do US stock prices deviate from their fundamental values? Some new evidence. Journal of banking & finance 27(4), 673–697.

1. Stock market returns and GDP growth. (2024). Joebges, Heike ; Fichtner, Ferdinand.
   In: IMK Studies.
   RePEc:imk:studie:90-2024.

   Full description at Econpapers || Download paper

2. Stock Markets Response to Real Output Shocks in China: A VARwAL Estimation. (2023). Ülkü, Numan ; Ulku, Numan ; Wu, Kexing.
   In: China & World Economy.
   RePEc:bla:chinae:v:31:y:2023:i:5:p:1-25.

   Full description at Econpapers || Download paper

3. Examination of the impacts of the immediate interest rate of the United States and the VIX on the Dow Jones Islamic Market Index. (2023). Ozcelebi, Oguzhan ; Perezmontiel, Jose A.
   In: Bulletin of Economic Research.
   RePEc:bla:buecrs:v:75:y:2023:i:4:p:1157-1180.

   Full description at Econpapers || Download paper

4. Effects of diamond price volatility on stock returns: Evidence from a developing economy. (2022). Mougoue, Mbodja ; Thulaganyo, Kebaabetswe ; Marcelin, Jean ; Kouassi, Eugene ; Acquah, Benjamin K.
   In: International Journal of Finance & Economics.
   RePEc:wly:ijfiec:v:27:y:2022:i:1:p:1025-1043.

   Full description at Econpapers || Download paper

5. Time-varying causality between stock prices and macroeconomic fundamentals: Connection or disconnection?. (2022). Fromentin, Vincent.
   In: Finance Research Letters.
   RePEc:eee:finlet:v:49:y:2022:i:c:s154461232200304x.

   Full description at Econpapers || Download paper

6. Government debt expansion and stock returns. (2021). Wisniewski, Tomasz Piotr ; Jackson, Peter M.
   In: International Journal of Finance & Economics.
   RePEc:wly:ijfiec:v:26:y:2021:i:4:p:5017-5030.

   Full description at Econpapers || Download paper

7. Debt-by-Price Ratio, End-of-Year Economic Growth, and Long-Term Prediction of Stock Returns. (2021). Mousavi, Parastoo.
   In: Mathematics.
   RePEc:gam:jmathe:v:9:y:2021:i:13:p:1550-:d:586965.

   Full description at Econpapers || Download paper

8. The role of future economic conditions in the cross-section of stock returns: Evidence from the US and UK. (2020). Zhu, Sheng ; Sherman, Meadhbh ; Gao, Jun.
   In: Research in International Business and Finance.
   RePEc:eee:riibaf:v:52:y:2020:i:c:s0275531919304088.

   Full description at Econpapers || Download paper

9. The dynamic relationship between internet attention and stock market liquidity: A thermal optimal path method. (2020). Gao, Yang ; Zhao, Kun ; Wang, Chao ; Liu, Chao.
   In: Physica A: Statistical Mechanics and its Applications.
   RePEc:eee:phsmap:v:550:y:2020:i:c:s0378437120300261.

   Full description at Econpapers || Download paper

10. Comparing relative valuation efficiency between two stock markets. (2019). Chang, Yu-Wei ; Xing, Wen ; Yi, Ronghua ; Chen, Jun.
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:72:y:2019:i:c:p:159-167.

    Full description at Econpapers || Download paper

11. Time-varying predictive content of financial variables in forecasting GDP growth in the G-7 countries. (2019). Kuosmanen, Petri ; Vataja, Juuso.
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:71:y:2019:i:c:p:211-222.

    Full description at Econpapers || Download paper

12. Macroeconomic conditions, financial constraints, and firms’ financing decisions. (2019). Chen, Yunling ; Chang, Xin ; Dasgupta, Sudipto.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:101:y:2019:i:c:p:242-255.

    Full description at Econpapers || Download paper

13. Predictive ability of financial variables in changing economic circumstances. (2019). Rahko, Jaana ; Kuosmanen, Petri ; Vataja, Juuso.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:47:y:2019:i:c:p:37-47.

    Full description at Econpapers || Download paper

14. A tripartite inquiry into volatility-efficiency-integration nexus - case of emerging markets. (2018). Rizvi, Syed Aun R. ; Alam, Nafis ; Aun, Syed ; Arshad, Shaista.
    In: Emerging Markets Review.
    RePEc:eee:ememar:v:34:y:2018:i:c:p:143-161.

    Full description at Econpapers || Download paper

15. Equity prices and fundamentals: a DDM–APT mixed approach. (2017). JAWADI, Fredj ; Prat, Georges.
    In: Review of Quantitative Finance and Accounting.
    RePEc:kap:rqfnac:v:49:y:2017:i:3:d:10.1007_s11156-016-0604-y.

    Full description at Econpapers || Download paper

16. The return of financial variables in forecasting GDP growth in the G-7. (2017). Kuosmanen, Petri ; Vataja, Juuso.
    In: Economic Change and Restructuring.
    RePEc:kap:ecopln:v:50:y:2017:i:3:d:10.1007_s10644-017-9212-7.

    Full description at Econpapers || Download paper

17. A literature review of technical analysis on stock markets. (2017). Kimura, Herbert ; Sobreiro, Vinicius Amorim ; Farias, Rodolfo Toribio ; Lima, Jessica.
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:66:y:2017:i:c:p:115-126.

    Full description at Econpapers || Download paper

18. Analysis of the efficiency–integration nexus of Japanese stock market. (2017). Rizvi, Syed Aun R. ; Aun, Syed ; Arshad, Shaista.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:470:y:2017:i:c:p:296-308.

    Full description at Econpapers || Download paper

19. Stock markets response to real output shocks in Eastern European frontier markets: A VARwAL model. (2017). Ülkü, Numan ; Kuzmicheva, Olga ; Ulku, Numan ; Kuruppuarachchi, Duminda.
    In: Emerging Markets Review.
    RePEc:eee:ememar:v:33:y:2017:i:c:p:140-154.

    Full description at Econpapers || Download paper

20. On the importance of testing structural identification schemes and the potential consequences of incorrectly identified models.. (2016). Velinov, Anton.
    In: VfS Annual Conference 2016 (Augsburg): Demographic Change.
    RePEc:zbw:vfsc16:145581.

    Full description at Econpapers || Download paper

21. Economic Growth, Corporate Earnings and Equity Returns: Evidence from Central and Eastern European Countries. (2016). Piotr, Pietraszewski ; Jerzy, Gajdka.
    In: Comparative Economic Research.
    RePEc:vrs:coecre:v:19:y:2016:i:3:p:93-111:n:5.

    Full description at Econpapers || Download paper

22. Macroeconomic policy interaction: State dependency and implications for financial stability in UK: A systemic review. (2016). Yago, Milton ; Wu, JunJie ; Nasir, Muhammad Ali ; McMillan, David ; Soliman, Alaa M.
    In: Cogent Business & Management.
    RePEc:taf:oabmxx:v:3:y:2016:i:1:p:1154283.

    Full description at Econpapers || Download paper

23. Causality in EU macroeconomic variables. (2016). Kanas, Angelos ; AGIAKLOGLOU, CHRISTOS ; Gkouvakis, Michalis .
    In: Applied Economics Letters.
    RePEc:taf:apeclt:v:23:y:2016:i:4:p:264-277.

    Full description at Econpapers || Download paper

24. Foreign Exchange Risk, Equity Risk Factors and Economic Growth. (2016). ARTIKIS, PANAGIOTIS ; Apergis, Nicholas.
    In: Atlantic Economic Journal.
    RePEc:kap:atlecj:v:44:y:2016:i:4:d:10.1007_s11293-016-9520-8.

    Full description at Econpapers || Download paper

25. Impact of Monetary Policy and Fiscal Policy on Indonesian Stock Market. (2015). Zaidi, Mohd Azlan Shah ; Handoyo, Rossanto Dwi ; Shah, Mohd Azlan ; Jusoh, Mansor.
    In: Expert Journal of Economics.
    RePEc:exp:econcs:v:3:y:2015:i:2:p:113-126.

    Full description at Econpapers || Download paper

26. Financial variables and economic activity in the Nordic countries. (2015). Kuosmanen, Petri ; Nabulsi, Nasib ; Vataja, Juuso.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:37:y:2015:i:c:p:368-379.

    Full description at Econpapers || Download paper

27. The troika of business cycle, efficiency and volatility. An East Asian perspective. (2015). Rizvi, Syed Aun R. ; Arshad, Shaista ; Rizvi, Syed Aun R., .
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:419:y:2015:i:c:p:158-170.

    Full description at Econpapers || Download paper

28. Stock Markets Response to Real Output Shocks: Connection Restored but Delayed. (2015). Ülkü, Numan ; Ulku, Numan ; Kuruppuarachchi, Duminda.
    In: International Review of Finance.
    RePEc:bla:irvfin:v:15:y:2015:i:4:p:613-622.

    Full description at Econpapers || Download paper

29. Nonlinear dynamic interrelationships between real activity and stock returns. (2015). Nyberg, Henri ; Lanne, Markku.
    In: CREATES Research Papers.
    RePEc:aah:create:2015-36.

    Full description at Econpapers || Download paper

30. How do Macroeconomic Changes Impact Islamic and Conventional Equity Prices? Evidence from Developed and Emerging Countries. (2014). Rizvi, Syed Aun R. ; Masih, Abul ; Bacha, Obiyathulla ; Sarkar, Kabir ; Dewandaru, Ginanjar.
    In: MPRA Paper.
    RePEc:pra:mprapa:59587.

    Full description at Econpapers || Download paper

31. Determining what drives stock returns: Proper inference is crucial: Evidence from the UK. (2014). Wohar, Mark ; Ma, Jun.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:33:y:2014:i:c:p:371-390.

    Full description at Econpapers || Download paper

32. Impact of uncertainty on high frequency response of the U.S. stock markets to the Feds policy surprises. (2014). Marfatia, Hardik.
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:54:y:2014:i:3:p:382-392.

    Full description at Econpapers || Download paper

33. Can Stock Price Fundamentals Properly be Captured?: Using Markov Switching in Heteroskedasticity Models to Test Identification Schemes. (2013). Velinov, Anton.
    In: Discussion Papers of DIW Berlin.
    RePEc:diw:diwwpp:dp1350.

    Full description at Econpapers || Download paper

34. Equity prices and macroeconomic fundamentals: International evidence. (2011). Laopodis, Nikiforos.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:21:y:2011:i:2:p:247-276.

    Full description at Econpapers || Download paper

35. Venture capital funds and the public equity market. (2011). Janeway, William H. ; McKenzie, Michael D..
    In: Accounting and Finance.
    RePEc:bla:acctfi:v:51:y:2011:i:3:p:764-786.

    Full description at Econpapers || Download paper

36. A real-time trading rule. (2010). Rambaccussing, Dooruj.
    In: MPRA Paper.
    RePEc:pra:mprapa:27148.

    Full description at Econpapers || Download paper

37. How do stock prices respond to fundamental shocks in the case of the United States? Evidence from NASDAQ and DJIA. (2010). Eldomiaty, Tarek ; Louis, Rosmy Jean.
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:50:y:2010:i:3:p:310-322.

    Full description at Econpapers || Download paper

38. Fractional integration and cointegration in stock prices and exchange rates. (2010). Boutahar, Mohamed ; Aloy, Marcel ; Gente, Karine ; Pguin-feissolle, Anne .
    In: Economics Bulletin.
    RePEc:ebl:ecbull:v:30:y:2010:i:1:p:115-129.

    Full description at Econpapers || Download paper

39. Fractional integration and cointegration in stock prices and exchange rates. (2010). PEGUIN-FEISSOLLE, Anne ; Boutahar, Mohamed ; Gente, Karine ; ALOY, Marcel.
    In: Economics Bulletin.
    RePEc:ebl:ecbull:eb-09-00644.

    Full description at Econpapers || Download paper

40. Stock returns and economic activity in mature and emerging markets. (2009). Tsouma, Ekaterini.
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:49:y:2009:i:2:p:668-685.

    Full description at Econpapers || Download paper

41. Are fundamentals still relevant for European economies in the post-Euro period?. (2009). Laopodis, Nikiforos.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:26:y:2009:i:5:p:835-850.

    Full description at Econpapers || Download paper

42. Productivity and equity market fundamentals: 80 years of evidence for 11 OECD countries. (2008). Madsen, Jakob ; Davis, E.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:27:y:2008:i:8:p:1261-1283.

    Full description at Econpapers || Download paper

43. Wavelet analysis of stock returns and aggregate economic activity. (2008). Gallegati, Marco.
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:52:y:2008:i:6:p:3061-3074.

    Full description at Econpapers || Download paper

44. Dynamic interactions between private investment and the stock market: evidence from cointegration and error correction models. (2007). sawhney, bansi ; Laopodis, Nikiforos.
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:17:y:2007:i:4:p:257-269.

    Full description at Econpapers || Download paper

45. The behaviour of US stock prices: Evidence from a threshold autoregressive model. (2006). Narayan, Paresh.
    In: Mathematics and Computers in Simulation (MATCOM).
    RePEc:eee:matcom:v:71:y:2006:i:2:p:103-108.

    Full description at Econpapers || Download paper

46. Stock returns and real activity in the G-7 countries: did the relationship change during the 1980s?. (2004). Binswanger, Mathias.
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:44:y:2004:i:2:p:237-252.

    Full description at Econpapers || Download paper

47. How important are fundamentals?--Evidence from a structural VAR model for the stock markets in the US, Japan and Europe. (2004). Binswanger, Mathias.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:14:y:2004:i:2:p:185-201.

    Full description at Econpapers || Download paper

48. How do stock prices respond to fundamental shocks?. (2004). Binswanger, Mathias.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:1:y:2004:i:2:p:90-99.

    Full description at Econpapers || Download paper

Report date: 2025-09-12 21:48:32 || Missing content? Let us know