Cointegration and causality between macroeconomic variables and stock market returns

The purpose of this study is to investigate whether current economic activities in Korea can explain stock market returns by using a cointegration test and a Granger causality test from a vector error correction model. This study finds that the Korean stock market reflects macroeconomic variables on...

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Bibliographic details
Volume: 10
Main Author: Kwon, Chung S
Shin, Tai S
Format: Journal Article
Language: English
Place of publication: Greenwich Elsevier Inc 1999
Elsevier
Elsevier Science Ltd
published in: Global finance journal Vol. 10; no. 1; pp. 71 - 81
Data of publication: 1999
ISSN: 1044-0283
1873-5665
EISSN: 1873-5665
Discipline: Business
Series: Global Finance Journal
Subjects:
Online Access: Fulltext
Database: RePEc IDEAS
RePEc
CrossRef
ProQuest One Business
ProQuest One Business (Alumni)
Database information Databases - DBIS