The long-run relationship between stock prices and goods prices: new evidence from panel cointegration

Gregoriou, A. and Kontonikas, A. (2010) The long-run relationship between stock prices and goods prices: new evidence from panel cointegration. Journal of International Financial Markets, Institutions and Money, 20(2), pp. 166-176. (doi: 10.1016/j.intfin.2009.12.002)

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Abstract

We examine the long-run relationship between stock prices and goods prices to gauge whether stock market investment can hedge against inflation. Data from 16 OECD countries over the period 1970–2006 are used. We account for different inflation regimes with the use of sub-sample regressions, while maintaining the power of tests in small sample sizes by combining time-series data across our sample countries in a panel unit root and panel cointegration econometric framework. The evidence supports a positive long-run relationship between goods prices and stock prices with the estimated goods price coefficient being in line with the generalized Fisher hypothesis.

Item Type:Articles
Status:Published
Refereed:Yes
Glasgow Author(s) Enlighten ID:Kontonikas, Professor Alexandros
Authors: Gregoriou, A., and Kontonikas, A.
Subjects:H Social Sciences > HF Commerce
H Social Sciences > HB Economic Theory
College/School:College of Social Sciences > Adam Smith Business School > Economics
Journal Name:Journal of International Financial Markets, Institutions and Money
ISSN:1042-4431
ISSN (Online):1873-0612
Published Online:23 December 2009

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