Do Macroeconomic Variables have an Effect on the US Stock Market?: Empirical Evidence in the Case of the S & P 500
Do Macroeconomic Variables have an Effect on the US Stock Market?: Empirical Evidence in the Case of the S & P 500

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Seminar paper from the year 2010 in the subject Economics - Case Scenarios, grade: 1.0, Berlin School of Economics, language: English, abstract: The objective of this paper is to examine whether the unanticipated change of specific macroeconomic variables influences the US stock market represented by the S&P 500 using monthly data from 1986 to 2007. Thereby, the performance of the arbitrage pricing theory ofRoss (cp. Ross, S., 1976) shall be studied. To explain the behavior of the US stock market return the paper contains the five predefined variables consumer price index (CPI), industrial production index (IPT), money stock M1 (M1), total consumer credit outstanding (TCC) and the term structure of interest rates (Term) which are approximately similar to those variables used by Ross (cp. Chen N. F. et al., 1986, pp. 383-403). Applying the OLS method, it was found that CPI, IPT and Term are negatively related to the US stock return. It was also detected that M1 affects the stock market lagging 8 months and 12 months. However, the test statistics showedthat TCC has rather no impact on the US stock market return. To ensure that the ultimate results are not spurious, care will be taken in regards to autocorrelation, multicollinearity, serial correlation as well as heteroskedasticity.

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  • Released: November 16, 2020
  • Author: Dennis Sauert
  • Rating: 4,9
  • Publisher: Ebook DIgital Agency
  • Total Page: 425 pages
  • File Size: 3670 KB
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