出版社：Asociatia Generala a Economistilor din Romania - AGER
摘要：This study examines the interaction between macroeconomic variables and stock return in Germany for the period spam from 1990:Q1 to 2016:Q1. We employing bounds testing procedure proposed by Pesaran et al. (2001) and the Autoregressive distributed lag approach has been applied as yields consistent estimates of the long-run coefficients that are asymptotically normal irrespective of whether the underlying regressors are I(0) or I(1). Empirical results reveal that exchange return, the M3 aggregate and the oil return in Germany have positive and no significant impact on stock return. However, the interest rate has a negative and significant impact on stock return. The effect of CPI on stock return is positive and significant. The value of lagged ECM is negative and significant at 10% level of significance. The value of lag ECM is -0.1418 which show the speed of convergent towards equilibrium.
