Stock prices,production and interest rates: Comparison of three European countries with the USA |
| |
Authors: | Amado Peiró |
| |
Affiliation: | 1. Department d'Anàlisi Econòmica, Facultat de Ciències Econòmiques i Empresarials, Avda. Blasco Ibá?ez, 32, 46010, Valencia, Spain
|
| |
Abstract: | This paper investigates the relationships between stock returns, changes in production, and changes in interest rates in three European countries: France, Germany, and the United Kingdom. The results obtained using annual data are much more conclusive than those obtained using quarterly data. Stock returns are affected by current changes in interest rates and by future changes in production. The dependence on changes in interest rates seems to be higher than on changes in production. Furthermore, the influence of future changes in production on stock returns diminishes substantially when contemporaneous changes in interest rates are taken into account. With reference to these points, the European markets behave in a similar fashion, but are in sharp contrast with the U.S. market.I am very grateful to Kay Davidson, Patric Hendershott and two anonymous referees for useful comments and suggestions. I am solely responsible for all remaining errors. |
| |
Keywords: | KeywordHeading" >JEL Classification System-Numbers E44 G15 |
本文献已被 SpringerLink 等数据库收录! |
|