Predicting stock returns and volatility using consumption-aggregate wealth ratios : a nonlinear approach
| dc.contributor.author | Bekiros, Stelios | |
| dc.contributor.author | Gupta, Rangan | |
| dc.contributor.email | rangan.gupta@up.ac.za | en_ZA |
| dc.date.accessioned | 2015-05-25T07:23:22Z | |
| dc.date.available | 2015-05-25T07:23:22Z | |
| dc.date.issued | 2015-06 | |
| dc.description.abstract | Recent empirical evidence based on a linear framework tends to suggest that a Markov-switching version of the consumption-aggregate wealth ratio (cayMS), developed to account for structural breaks, is a better predictor of stock returns than the conventional measure (cay)—a finding we confirm as well. Using quarterly data over 1952:Q1–2013:Q3, we however provide statistical evidence that the relationship between stock returns and cay or cayMS is in fact nonlinear. Then, given this evidence of nonlinearity, using a nonparametric Granger causality test, we show that it is in fact cay and not cayMS which is a stronger predictor of not only stock returns, but also volatility. | en_ZA |
| dc.description.embargo | 2016-06-30 | en_ZA |
| dc.description.librarian | hb2015 | en_ZA |
| dc.description.uri | http://www.elsevier.com/locate/ecolet | en_ZA |
| dc.identifier.citation | Bekiros, S & Gupta, R 2015, 'Predicting stock returns and volatility using consumption-aggregate wealth ratios : a nonlinear approach', Economics Letters, vol. 131, pp. 83-85. | en_ZA |
| dc.identifier.issn | 0165-1765 (print) | |
| dc.identifier.issn | 1873-7374 (online) | |
| dc.identifier.other | 10.1016/j.econlet.2015.03.019 | |
| dc.identifier.uri | http://hdl.handle.net/2263/45248 | |
| dc.language.iso | en | en_ZA |
| dc.publisher | Elsevier | en_ZA |
| dc.rights | © 2015 Elsevier B.V. All rights reserved. Notice : this is the author’s version of a work that was accepted for publication in Economics Letters. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Economics Letters, vol. 131, pp. 83-85,2015. doi : 10.1016/j.econlet.2015.03.019 | en_ZA |
| dc.subject | Cay | en_ZA |
| dc.subject | Stock markets | en_ZA |
| dc.subject | Volatility | en_ZA |
| dc.subject | Nonlinear causality | en_ZA |
| dc.title | Predicting stock returns and volatility using consumption-aggregate wealth ratios : a nonlinear approach | en_ZA |
| dc.type | Postprint Article | en_ZA |