Industry returns, market returns and economic fundamentals: Evidence for the United States

被引：14

作者：

Laopodis, Nikiforos T. ^{[1
]}

机构：

[1] Amer Coll Greece, Gravias 6, Athens 15342, Greece

来源：

ECONOMIC MODELLING | 2016年 / 53卷

关键词：

Industries; Fundamentals; Stock market; Business cycles; Causality; VAR; STOCK RETURNS; CROSS-AUTOCORRELATIONS; EXPECTED RETURNS; REAL ACTIVITY; MODEL; ATTENTION; PRICES; RISK; NEWS; BULL;

D O I：

10.1016/j.econmod.2015.11.007

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

Seventeen industry returns, the stock market and several fundamental variables are simultaneously examined for the United States from 1957 to 2013. The results point to significant explanatory power of industry returns to many predictors of economic activity including the stock market. Detailed analyses of the industries stock market returns linkages revealed that certain industries (Oil and Financials) provided consistent information leadership to other industries. Finally, when examining the industries' returns behavior during expansions/bull markets and contractions/bear markets, it was discovered that there are no consistent response patterns across and within each expansion/bull or contraction/bear market (C) 2015 Elsevier B.V. All rights reserved.

引用

页码：89 / 106

页数：18

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