Macroeconomic news and the returns of financial companies
AbstractThis research is concerned with the response of the NASDAQ Financial 100 index to macroeconomic news. The paper employs the newly developed technique of generalized impulse response analysis to examine how macroeconomic shocks affect the performance of the financial sector. The results identify the magnitude and persistence of the response of financial companies stock returns arising from shocks to the stance of monetary policy, real output, inflation, and risk. The findings add to the literature on the determinants of financial sector stocks and on the relationship between the stock market and the macroeconomy. Copyright © 2002 John Wiley & Sons, Ltd.
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Bibliographic InfoArticle provided by John Wiley & Sons, Ltd. in its journal Managerial and Decision Economics.
Volume (Year): 23 (2002)
Issue (Month): 8 ()
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Web page: http://www3.interscience.wiley.com/cgi-bin/jhome/7976
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