Abstract
This study explores the impact of electricity consumption, as a proxy for economic activity, on stock prices for a panel of 23 Organization for Economic Cooperation and Development countries for the period 1992 to 2010. Heterogeneous panel cointegration tests reveal a long-run equilibrium relationship between stock prices and electricity consumption, while controlling for factors related to arbitrage pricing models and macroeconomic fundamentals. Finally, the panel error correction model shows bidirectional causality in both the short-run and long-run between electricity consumption and stock prices.
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