Predicting stock market movements with a time-varying consumption-aggregate wealth ratio

被引：5

作者：

Chang, Tsangyao ^{[1
]}

Gupta, Rangan ^{[2
]}

Majumdar, Anandamayee ^{[3
]}

Pierdzioch, Christian ^{[4
]}

机构：

[1] Feng Chia Univ, Dept Finance, Taichung, Taiwan

[2] Univ Pretoria, Dept Econ, ZA-0002 Pretoria, South Africa

[3] Soochow Univ, Ctr Adv Stat & Econometr, Suzhou, Peoples R China

[4] Helmut Schmidt Univ, Dept Econ, Holstenhofweg 85,POB 700822, D-22008 Hamburg, Germany

来源：

INTERNATIONAL REVIEW OF ECONOMICS & FINANCE | 2019年 / 59卷

关键词：

Consumption-aggregate wealth ratio; Time-varying cointegration; Stock returns; Volatility; Nonparametric causality-in-quantiles test; CONSISTENT NONPARAMETRIC TEST; HOUSING RETURNS EVIDENCE; TERROR ATTACKS; UNIT-ROOT; CAUSALITY; SERIES; UNCERTAINTY; VOLATILITY;

D O I：

10.1016/j.iref.2018.10.009

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We develop a time-varying measure of cay (cay(TVP)) using time-varying cointegration, and then compare the predictive ability of Cay(TVP) with cay and a Markov-switching cay (cay(MS)) for excess stock returns and volatility in the US over the period 1952:Q2-2015:Q3, using a k-th order nonparametric causality-in-quantiles test. We find that time-varying cointegration exists between consumption, asset wealth, and labor income. In addition, while there is no evidence of predictability of volatility of excess returns from cay, cay(MS), or Cay(TVP), they tend to act as strong predictors of stock returns, with cay(TVP) being important during the bearish phases of the equity market.

引用

页码：458 / 467

页数：10

共 31 条

[1] CONSUMPTION, WEALTH, STOCK AND GOVERNMENT BOND RETURNS: INTERNATIONAL EVIDENCE [J].