Balcilar, Mehmet; Gupta, Rangan; Sousa, Ricardo M.; Wohar, Mark E.
(Wiley, 2018-09)
We use a nonparametric causality‐in‐quantile test to analyze the predictive ability of the wealth‐to‐income ratio (wy) for excess stock returns and their volatility. Our results reveal that the wy is nonlinearly related ...