Humpe, A., & Macmillan, P. (2007). Can Macroeconomic Variables Explain Long Term Stock Market Movements? A Comparison of the US and Japan. CDMA Working Paper No. 07/20, St Andrews: Centre for Dynamic Macroeconomic Analysis.
https://doi.org/10.2139/ssrn.1026219

has been cited by the following article:

• TITLE: Indian Money and Equity Market: Are They Entwined?

  AUTHORS: Hirak Ray, Joy Sarkar, Debashree Dey

  KEYWORDS: Stock Market, Money Market, Cointegration, Causality, Impulse Response Analysis, Forecast Error Variance Decomposition Analysis

  JOURNAL NAME: Modern Economy, Vol.12 No.3, March 18, 2021

  ABSTRACT: After almost three decades of the New Economic Policy of the Government of India, now it is high time to assess the policy prescriptions so far followed to converge the financial markets, especially the stock and money market, objectively with the robust statistical and econometric tools. This paper attempts to measure the integration amongst stock and some select segments of Indian money market. The results of Johansen and Juselius (1990) cointegration test suggest strong integration amongst the markets and statistically significant presence of all the markets in the cointegration space. Granger causality expectedly runs from money to stock market and Forecast Error Variance Decomposition Analysis indicates the rigidity of the stock and treasury bills market only, hence, warrants more attention of the Indian policy planners for adequate steps to make these markets more flexible.