Uma Investigação Econométrica sobre a Relação entre as Taxas Econômicas e
                        Contábeis de Retorno

Many studies have questioned empirical utilization of accounting data, as internal rates of return would be more consistent with the relevant economic concept. The paper investigates the dynamic relationships between different measures of accounting rates of return (ARRs) and an estimated internal rate of return (IRR). In contrast with the prevailing case-study investigations, we consider a panel for quoted Brazilian firms in the manufacturing industry for the 1988-3/2003-2 period. Granger causality tests are considered and the results indicate a bi-directional causality pattern when ROA (Net Profits/Total Assets) is considered as the accounting measure. This seems to indicate that there is some validity in using accounting rates of return in certain economic settings, especially when long time series are considered.

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Non-linear Causality Between Stock Returns And Inflation Uncertainty: Evidence From The US And The UK

International Business & Economics Research Journal (IBER) ◽

10.19030/iber.v12i1.7512 ◽

2012 ◽

Vol 12 (1) ◽

pp. 63

Author(s):

Esin Cakan

Keyword(s):

Stock Returns ◽

Granger Causality ◽

Predictive Power ◽

Inflation Uncertainty ◽

The Us ◽

Non Linear ◽

Causality Tests ◽

Granger Causality Tests ◽

The Uk ◽

Dynamic Relationships

This study analyzes the dynamic relationships between inflation uncertainty and stock returns by employing the linear and non-linear Granger causality tests for the US and the UK. Using GARCH model to generate a measure of inflation uncertainty, it does not have a predictive power for stock returns, as predicted by Friedman, and it does not support the opportunistic central bank hypothesis suggested by Cukierman-Meltzer. However, the findings from non-linear Granger causality put forth that there is a bi-directional non-linear predictive power between these variables. Stock market is used as a hedge against inflation uncertainty.

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Investigating Causal Linkages Between International Stock Markets in Hungary and Austria in Terms of Economic Globalization

Emerging Research on Monetary Policy, Banking, and Financial Markets - Advances in Finance, Accounting, and Economics ◽

10.4018/978-1-5225-9269-3.ch014 ◽

2019 ◽

pp. 269-281

Keyword(s):

Stock Markets ◽

Economic Globalization ◽

Stock Index ◽

International Stock Markets ◽

Time Period ◽

Causality Tests ◽

Long Time ◽

Financial Asset Returns ◽

Granger Causality Tests

The main aim of this chapter is to examine causal linkages between selected stock markets of Hungary and Austria in terms of economic globalization. The sample databases cover a long time period from January 2000 to December 2013. The selected ATX stock index represents Austria index, while BUX represents the main stock index of Hungary. The empirical findings highlighted that stock market in Hungary is significantly more volatile and provides comparatively higher investing opportunities for financial asset returns. There are strong evidences of no casual linkages between selected markets of Austria and Hungary. The econometric analysis includes BDS and Granger causality tests. The results are classified in a comparative manner. This book chapter will support decision makings on escalation ratios depending on the international financial market transmitting patterns.

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