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Testing for Granger causality between stock prices and ...

Munich Personal RePEc ArchiveTesting for Granger causality betweenstock prices and economic growthForesti, Pasquale2006 Online Paper No. 2962, posted 26 Apr 2007 UTCT esting for Granger causality between StockPrices and Economic ForestiApril 26, 2007 AbstractThis paper has focused on the relationship between stock marketprices and growth. A Granger - causality analysis has been carried outin order to assess whether there is any potential predictability powerof one indicator for the other. The conclusion that can be drawn isthat stock market prices can be used in order to predict growth, butthe opposite it is not IntroductionFor years, practitioners have analyzed the relationship between the growthofa Nation (in GDP growth) and the stock market. In particular, the questionabout the forecasting power of the stock prices for the economic growth hasbeen very who support the market power argue that the stock market con-tains information about the future economic growth.

Then, since the Granger-causality test is very sensitive to the number of lags included in the regression, both the Akaike (AIC) and Schwarz Infor-mation Criteria have been used in order to find an appropriate number of lags. After that these requirements have been satisfied, Granger-causality tests are computed.

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