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Empirical Economics

, Volume 38, Issue 3, pp 743–766 | Cite as

Looking far in the past: revisiting the growth-returns nexus with non-parametric tests

  • Ekaterini Panopoulou
  • Nikitas Pittis
  • Sarantis Kalyvitis
Original Paper

Abstract

In this paper, we reexamine the linkages between output growth and real stock price changes for the G7 countries using non-parametric procedures to account for the impact of long-lagged observations. We find that correlation between growth and returns is detected at larger horizons than those typically employed in parametric studies. The major feedbacks emerge from stock price changes to growth within the first 6–12 months, but we show that significant feedbacks may last for up to 2 or 3 years. Our evidence also suggests that the correlation patterns differ substantially between the countries at hand when the sectoral share indices are considered.

Keywords

Real stock price changes Output growth Long-run covariance matrix 

JEL Classification

C14 G10 O51 

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Copyright information

© Springer-Verlag 2009

Authors and Affiliations

  • Ekaterini Panopoulou
    • 1
  • Nikitas Pittis
    • 2
  • Sarantis Kalyvitis
    • 3
  1. 1.Department of Statistics and Insurance ScienceUniversity of PiraeusPiraeusGreece
  2. 2.Department of Banking and Financial ManagementUniversity of PiraeusPiraeusGreece
  3. 3.Department of International and European Economic StudiesAthens University of Economics and BusinessAthensGreece

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