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Macroeconomic Indicators and Market Index Interactions in the United States: An Empirical Analysis

Author

Listed:
  • Abdullah, Ahmad Monir

    (Universiti Kebangsaan Malaysia, Malaysia,)

  • Rithuan, Syahidah Hanis Meor

    (Universiti Kebangsaan Malaysia, Malaysia,)

  • Abdullah, Hamdy

    (Universiti Sultan Zainal Abidin, Malaysia.)

Abstract

This study investigates the dynamic interactions among the major United States (US) equity indices (NYSE, NASDAQ, and S&P 500), key macroeconomic indicators (Gross Domestic Product and Consumer Price Index), and West Texas Intermediate (WTI) crude oil prices over 2005 - 2024. Using descriptive statistics, correlation analysis, and Wavelet Transform Coherence (WTC), the research captures both linear relationships and time-frequency comovements across economic regimes, including the 2008 Global Financial Crisis, the COVID-19 pandemic, and the post-pandemic recovery. The results show strong coherence among the equity indices but weak and unstable linkages with macroeconomic fundamentals, especially GDP. WTI demonstrates persistent medium- to low-frequency coherence with CPI and equity indices during crisis periods, highlighting its role as a major macro-financial transmission channel. These findings reveal that US financial markets have become increasingly decoupled from real-sector performance while remaining sensitive to energy-price shocks and inflation dynamics. By applying a continuous wavelet approach to a long-horizon, multi-indicator dataset, this study provides a richer view of how systemic events reshape market-macro relationships. The evidence offers new insights for policy formulation, portfolio diversification, and risk management, underscoring the need for frequency-sensitive, nonlinear frameworks for analysing macro-financial interdependence.

Suggested Citation

  • Abdullah, Ahmad Monir & Rithuan, Syahidah Hanis Meor & Abdullah, Hamdy, 2026. "Macroeconomic Indicators and Market Index Interactions in the United States: An Empirical Analysis," International Journal of Energy Economics and Policy, International Journal of Energy Economics and Policy, vol. 16(2), pages 494-507, January.
    • Handle: RePEc:eco:journ2:v:16:y:2026:i:2:id:22331
    DOI: 10.32479/ijeep.22331
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    References listed on IDEAS

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