Do business cycles, investment-specific technology shocks matter for stock returns?

Prabheesh, K P and Vidya, C T (2017) Do business cycles, investment-specific technology shocks matter for stock returns? Economic Modelling. ISSN 0264-9993 (In Press)

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Abstract

This paper empirically analyzes the dynamic relationship between business cycle, investment-specific technology shocks, and stock returns in the Indian context. Using Structural VAR technique the study finds: (1) business cycle shocks and stock market returns are more pronounced, especially during the financial market liberalization (2) the dominant role of global cycles over country cycles in explaining stock returns (3) interest rate plays an important role to interact the business cycle dynamics and stock returns (4) a relatively weak effect of investment-specific technology shocks on the business cycle and stock returns.

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IITH Creators:
IITH CreatorsORCiD
Prabheesh, K PUNSPECIFIED
Item Type: Article
Uncontrolled Keywords: Business cycles, Technological change, Stock market, Structural VAR
Subjects: Social sciences > Political Science & Economics
Social sciences > Business Finance
Divisions: Department of Liberal Arts
Depositing User: Library Staff
Date Deposited: 03 Nov 2017 11:49
Last Modified: 06 Nov 2017 05:06
URI: http://raiith.iith.ac.in/id/eprint/3643
Publisher URL: https://doi.org/10.1016/j.econmod.2017.09.014
OA policy: http://www.sherpa.ac.uk/romeo/issn/0264-9993/
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