Time-varying causality between stock prices and macroeconomic fundamentals: Connection or disconnection?

被引：19

作者：

Fromentin, Vincent ^{[1
]}

Lorraine, M. S. H. ^{[1
]}

Ariane, C. P. E. R. ^{[1
]}

Alshammari, Turki ^{[1
]}

机构：

[1] Univ Lorraine, CEREFIGE, DEM, Nancy, France

来源：

FINANCE RESEARCH LETTERS | 2022年 / 49卷

关键词：

Stock market; Macroeconomic variables; Time -varying causality; RETURNS; VARIABLES; MARKETS; MONEY;

D O I：

10.1016/j.frl.2022.103073

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This study investigates the connection/disconnection between the stock market and macroeco-nomic fundamentals in the United States from January 1960 to December 2021. Using a recent time-varying Granger causality framework, tests revealed asymmetric bidirectionnal causality. The lead-lag relationships between stock prices and key macroeconomic indicators are more prevalent during recession phases. However, the significance and intensity of the causal re-lationships during the Covid crisis varied greatly; which could indicate a possible disconnection.

引用

页数：10

共 47 条

[1]

Abdullah DewanA., 1993, Q J BUS ECON, P50

[2]

[Anonymous], 1999, Stock markets, speculative bubbles and economic growth

[3]

[Anonymous], 2000, The Journal of Psychology and Financial Markets, DOI DOI 10.1207/S15327760JPFM0101_05

[4] Energy consumption and economic growth in the United States [J].

Arora, Vipin ;

Shi, Shuping .

APPLIED ECONOMICS, 2016, 48 (39) :3763-3773

[5]

Bhattacharyya B., 2006, Journal of International Business and Economics, V5, P167

[6] Macroeconomic variables and stock Market indices: Asymmetric dynamics in the US and Canada [J].

Bhuiyan, Erfan M. ;

Chowdhury, Murshed .

QUARTERLY REVIEW OF ECONOMICS AND FINANCE, 2020, 77 :62-74

[7]

Binswanger Mathias., 2000, INT REV EC FINANCE, V9, P387, DOI [10.1016/S1059-0560(99)00056-8, DOI 10.1016/S1059-0560(99)00056-8]

[8] Do stock markets lead or lag macroeconomic variables? Evidence from select European countries [J].

Camilleri, Silvio John ;

Scicluna, Nicolanne ;

Bai, Ye .

NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE, 2019, 48 :170-186

[9]

Capelle-Blancard G., 2020, SSRN Electronic Journal, DOI [10.2139/SSRN.3638208, DOI 10.2139/SSRN.3638208]

[10] SEASONAL FLUCTUATIONS IN INDUSTRIAL-PRODUCTION AND STOCK-MARKET SEASONALS [J].

CHANG, EC ;

PINEGAR, JM .

JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS, 1989, 24 (01) :59-74

← 1 2 3 4 5 →