Abstract
Based on the present value model for stock prices, we utilise a pooled mean group estimator for panel ARDL cointegration to estimate the long-run relationship between G7 stock prices and macroecono...
Highlights
An important strand of empirical finance examines the long-run determinants of stock prices
Higher inflation leads to an immediate fall in stock prices as it is likely to signal higher interest rates and greater macroeconomic risk
Over the long-run stock prices rise with consumer prices, providing an inflation hedge
Summary
An important strand of empirical finance examines the long-run determinants of stock prices. This article examines the long-run relationship between macroeconomic variables and the G7 stock markets. We estimate the long- and short-run relationship between stock prices and these variables.
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