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GDP announcements and stock prices

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  • Funashima, Yoshito
  • Iizuka, Nobuo
  • Ohtsuka, Yoshihiro

Abstract

Timely GDP announcements seem to be a useful approach for communicating immediate macroeconomic conditions; however, inaccuracy might instead trigger financial market turmoil. This study examines the stock market response to GDP announcements in Japan and provides several insights into the trade-off between timeliness and accuracy. First, the effect of the initial GDP announcement on stock price is tenuous at best, suggesting little useful information in the provisional estimates. Second, the stock market responds keenly to the first revision, but poorly to the second revision. Finally, depending on the expenditure components of GDP, the revisions cause over- and under-reactions, and thus, are different destabilizing factors in stock prices.

Suggested Citation

  • Funashima, Yoshito & Iizuka, Nobuo & Ohtsuka, Yoshihiro, 2020. "GDP announcements and stock prices," Journal of Economics and Business, Elsevier, vol. 108(C).
    • Handle: RePEc:eee:jebusi:v:108:y:2020:i:c:s0148619519302772
    DOI: 10.1016/j.jeconbus.2019.105872
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    3. Ivan Mužić & Ivan Gržeta, 2022. "Expectations of Macroeconomic News Announcements: Bitcoin vs. Traditional Assets," Risks, MDPI, vol. 10(6), pages 1-15, June.

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    More about this item

    Keywords

    GDP announcements; Data revisions; Stock prices;
    All these keywords.

    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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