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Proceedings Article
Is Rate of Stock Returns a Leading Indicator of Output Growth? In the Case of Four East Asian Countries
Pei-Fen Chen, Chien-Chiang Lee, Swee Yoong Wong
The link between stock returns and economic growth has been an important research topic in the financial economic literature. The purpose of this study is to employ a threshold vector autoregressive (TVAR) approach in order to investigate the non-linear relationship between stock returns and output growth...