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Macroeconomic variables and stock market: US review

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  • Sirucek, Martin

Abstract

This focus of this paper are the effect, implication, impact and realtionship between selected macroeconomic variables and wider US indices S&P 500 and industrial Dow Jones Industrial Average (DJIA). Considered are inflation, interest rates, money supply, producer price index, industrial production index, oil price and unemployment and their impact on selected stock indices in the USA between 1999 and 2012. The hypotesis of this paper is, that between selected macroeconomic variables, namely producer price index, industrial production index, oil price and Dow Jones index is strongly relationship than between these factors and S&P 500. The paper is organising as follows. First section reviews the related literature. In section two are materials and methods which are use explained. Section 3 provides the empirical results and the last part presents the conslusions

Suggested Citation

  • Sirucek, Martin, 2012. "Macroeconomic variables and stock market: US review," MPRA Paper 39094, University Library of Munich, Germany.
  • Handle: RePEc:pra:mprapa:39094
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    File URL: https://mpra.ub.uni-muenchen.de/39094/1/MPRA_paper_39094.pdf
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    References listed on IDEAS

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    4. A. G. Malliaris & Jorge L. Urrutia, 2005. "An empirical investigation among real, monetary and financial variables," World Scientific Book Chapters,in: Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays, chapter 3, pages 13-20 World Scientific Publishing Co. Pte. Ltd..
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    6. Jeng, Chyong-Chiou & Butler, J. S. & Liu, Jin-Tan, 1990. "The informational efficiency of the stock market : The international evidence of 1921-1930," Economics Letters, Elsevier, vol. 34(2), pages 157-162, October.
    7. Jan Hanousek & Randall K. Filer, 2000. "The Relationship Between Economic Factors and Equity Markets in Central Europe," The Economics of Transition, The European Bank for Reconstruction and Development, vol. 8(3), pages 623-638, November.
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    13. Mukherjee, Tarun K & Naka, Atsuyuki, 1995. "Dynamic Relations between Macroeconomic Variables and the Japanese Stock Market: An Application of a Vector Error Correction Model," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 18(2), pages 223-237, Summer.
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    Cited by:

    1. Majid Delavari & Nadiya Gandali Alikhani & Esmaeil Naderi, 2013. "Do Dynamic Neural Networks Stand a Better Chance in Fractionally Integrated Process Forecasting?," International Journal of Economics and Financial Issues, Econjournals, vol. 3(2), pages 466-475.
    2. repec:mth:ber888:v:7:y:2017:i:1:p:177-188 is not listed on IDEAS

    More about this item

    Keywords

    Macroeconomic factors; correlation; cointegration; ADF test;

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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