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Á GARCH Examination of Macroeconomic Effects on U.S. Stock Market: A Distinction Between the Total Market Index and the Sustainability Index

  • Nikolaos SARIANNIDIS
  • Grigoris GIANNARAKIS
  • Nicolaos LITINAS
  • George KONTEOS
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    The paper examines the impact of several macroeconomic variables on the Dow Jones Sustainability and Dow Jones Wilshire 5000 indexes, using a GARCH model and monthly data for the period January, 2000 to January, 2008. The results show that changes in returns of crude oil prices affect negatively the U.S. stock market, contrary to changes in returns of the 10-year bond value that affect it positively. Both economic indicators influence the DJSI with a month delay. Also, the exchange rate volatility affects negatively the returns of the U.S. stock market and the non-farm payroll can be characterised as a stabilising factor for the DJSI.

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    File URL: http://www.ersj.eu/repec/ers/papers/10_1_p9.pdf
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    Article provided by European Research Studies Journal in its journal European Research Studies Journal.

    Volume (Year): XIII (2010)
    Issue (Month): 1 ()
    Pages: 129-142

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    Handle: RePEc:ers:journl:v:xiii:y:2010:i:1:p:129-142
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