摘要：This study attempts to examine the equilibrium relationship (short and long-run) and the causality relationship between share price and economic growth in the USA, the UK and Japan based on quarterly data for a time period of 22 years ranging from 1991 to 2012. Two econometric models, namely Engle-Granger co-integration and Granger causality are employed in order to uncover the relationship between variables. Overall results indicate the absence of any equilibrium short and long-run relationship between share price and economic growth in the USA and Japan; however, as in the UK, there is no long-run but a short-run relationship exists between the variables. As regards causality, the study finds that changes in share prices provide reliable predictions of near term future economic growth in the USA and the UK. However, changes in economic growth are not related to share price movements, while in the case of Japan, share price movements do not appear to be a useful leading predictor for near term economic growth and vice-versa.
