کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
987057 1480897 2013 7 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
The impact of (global) business cycle risk on the German and British stock markets: Evidence from the first age of globalization
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
The impact of (global) business cycle risk on the German and British stock markets: Evidence from the first age of globalization
چکیده انگلیسی

In the period from 1880 to 1913, time-varying German and British stock market returns are related to business cycle variables such as the deviation of industrial production from trend. Common British and German business cycle dynamics Granger cause stock returns and explain more than 20% of time variation in one-year ahead stock market returns. The link between business cycle variables and stock returns is less pronounced in the modern era of financial globalization. A potential explanation for this finding is the fact that during the first globalization period stock indices were dominated by industrial companies and stock prices varied in line with dividends. In the modern era of globalization stock price dynamics predominantly reflect time-varying risk premia.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Review of Financial Economics - Volume 22, Issue 3, September 2013, Pages 118–124
نویسندگان
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