| Reference: | Akaike, H. (1974), A new look at the statistical model identification. Automatic Control, IEEE Transactions on 19(6): 716-723.
Browne, F. and Doran, D. (2005), Do equity index industry groups improve forecasts of inflation and production? A US analysis, Applied Economics, 37, 1801-1812.
Chowdhury, S.S.H., Mollik, D.A.T. and Akhter, M.S. (2006), Does predicted macroeconomic volatility influence stock market volatility? Evidence from the Bangladesh capital market,” Working Paper, Department of Finance and Banking University of Rajshahi, Bangladesh.
Christopher, G., Minsoo, L., Hwa, A.Y.H. and Jun, Z. (2006), “Macroeconomic variables and stock market interactions: New Zealand evidence,” Investment Management and Financial Innovations, 4, 89-101.
Dickey, D. A. and W. A. Fuller (1979), Distribution of the estimators for autoregressive time series with a unit root. Journal of the American Statistical Association 74(366): 427-431.
Dickey, D. A. and S. G. Pantula (1987), Determining the order of differencing in autoregressive processes. Journal of Business and Economic Statistics 5(4): 455-461.
Ewing, B.T., Forbes, S.M. and Payne, J.E. (2003), The effects of macroeconomic shocks on sector-specific returns, Applied Economics, 35, 201-207.
Granger, C.W.J. and Newbold, P. (1974), Spurious regressions in econometrics, Journal of Econometrics, 12, 111-120.
Gultekin, N. B. (1983). Stock Market Returns and Inflation: Evidence from Other Countries. Journal of Finance 38(1): 49-65.
Hsing, Y. (2006), Responses of output in Poland to shocks to the exchange rate, the Stock price and other macroeconomic variables: a VAR model, Applied Economics Letter, 13, 1017-1022.
Ibbotson, R., L. Siegel, et al. (1985), World Wealth: Market Values and Returns, Journal of Portfolio Management 12(1): 4-23.
Jaffe, J. and G. Mandelker (1979), Inflation and the Holding Period Returns on Bonds, Journal of Financial and Quantitative Analysis 14(5): 959-979.
Laopodis, N.T. (2006), Dynamic interactions among the stock market, Federal Funds Rate, inflation, and economic activity, The Financial Review, 41, 513-545.
Laopodis, N.T. and Sawhney, B.L. (2002), Dynamic interactions between Main Street and Wall Street, Economic and Finance, 42, 803-815.
Lee, B. S. (1992), Causal relations among stock returns, interest rates, real activity, and inflation, Journal of Finance 47(4): 1591-1603.
Mookerjee, R. and Yu, Q. (1997), “Macroeconomic variables and stock prices in a small open economy: The case of Singapore,” Pacific-Basin Finance Journal, 5, 377-388.
Phillips, P.C.B. and Perron, P. (1988), Testing for a unit root in time series regression,” Biometrica, 75, 335-346.
Ram, R. and D. E. Spencer (1983), Stock returns, real activity, inflation and money: Comment. American Economic Review 73(3): 463–72.
Sim, C.A. (1980), “Macroeconomics and reality,” Econometrica, 48, 11-48.
Titman, S. and A. Warga (1989), Stock returns as predictors of interest rates and inflation, Journal of Financial and Quantitative Analysis 24(1): 47-58.
Wongbangpo, R. and Sharma, S.C. (2002), Stock market and macroeconomic fundamental dynamic interactions: ASEAN-5 countries, Journal of Asian Economics, 13, 27-51. |
