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

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