Looking far in the Past: Revisiting the growth-returns nexus with non-parametric tests
Panopoulou, Ekaterini and Pittis, Nikitas and Kalyvitis, Sarantis (2006) Looking far in the Past: Revisiting the growth-returns nexus with non-parametric tests. .
In this paper we reexamine the linkages between output growth and real stock price changes for the G7 countries using a batttery of non-parametrric procedures to account for the impact of long-lagged observations. Wer find that correlation between growth and returns is detected at larger horizons than those typically employed in parametric studies. The major feedback emerge from stock price changes to growth within the first 6 to 12 months, but we show that significant feedbacks may last for up to two or three years. Our evidence also suggests htat the correlation patterns differ substantially between the countries at hand when the sectoral share indices are considered.
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