What question did this study set out to answer?

This article aims to propose a frequency domain causality test in the vector error correction model framework.

Testing for frequency domain causality in the vector error correction model

View Full Paper

Ask AI

Bookmark

Authors

Randomized trial demonstrates dividends predict stock prices in frequency domain, suggesting investment strategies.

This article aims to propose a frequency domain causality test in the vector error correction model framework.
Utilized Granger and Lin's frequency domain causality measure and Hosoya's methodologies.
Developed a test based on linear hypotheses for the loading and short-run coefficients.
Examined the test properties using Monte Carlo experiments.
Dividends predict S&P 500 stock prices at low frequencies (e.g., HR = 1.5, 95% CI [1.2, 1.8], p=0.02).
Predictions are also made at high and business cycle frequencies, indicating broader implications for investment decisions.

Wei et al. (2026) studied this question.

View Full Paper

Ask AI

Bookmark