Wealth-to-income ratio and stock market movements : evidence from a nonparametric causality test

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dc.contributor.author Balcilar, Mehmet
dc.contributor.author Gupta, Rangan
dc.contributor.author Sousa, Ricardo M.
dc.contributor.author Wohar, Mark E.
dc.date.accessioned 2018-10-31T13:19:07Z
dc.date.issued 2018-09
dc.description.abstract 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 with excess stock returns, and hence, results from linear Granger causality tests cannot be deemed robust. When we apply the nonparametric causality‐in‐quantile test, we find that the wy can predict excess stock returns over the majority of the conditional distribution, with the exception being the extreme ends, that is, when the market is in deep bear or bull phases. However, the wy has no predictability for the volatility of excess stock returns. en_ZA
dc.description.department Economics en_ZA
dc.description.embargo 2020-09-01
dc.description.librarian hj2018 en_ZA
dc.description.uri https://onlinelibrary.wiley.com/journal/14682443 en_ZA
dc.identifier.citation Balcilar, M., Gupta, R., Sousa, R.M. et al. 2018, 'Wealth-to-income ratio and stock market movements : evidence from a nonparametric causality test', International Review of Finance, vol. 18, no. 3, pp. 495-506. en_ZA
dc.identifier.issn 1369-412X (print)
dc.identifier.issn 1468-2443 (online)
dc.identifier.other 10.1111/irfi.12136
dc.identifier.uri http://hdl.handle.net/2263/67111
dc.language.iso en en_ZA
dc.publisher Wiley en_ZA
dc.rights © 2017 International Review of Finance Ltd. 2018. This is the pre-peer reviewed version of the following article : 'Wealth-to-income ratio and stock market movements : evidence from a nonparametric causality test', International Review of Finance, vol. 18, no. 3, pp. 495-506, 2018, doi : 10.1111/irfi.12136. The definite version is available at :https://onlinelibrary.wiley.com/journal/14682443. en_ZA
dc.subject Wealth‐to‐income ratio en_ZA
dc.subject Stock market movements en_ZA
dc.subject Nonparametric causality‐in‐quantile test en_ZA
dc.subject Stock returns en_ZA
dc.subject Stock volatility en_ZA
dc.subject Excess stock returns en_ZA
dc.title Wealth-to-income ratio and stock market movements : evidence from a nonparametric causality test en_ZA
dc.type Postprint Article en_ZA


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