IMF Working Papers Volume 1998 Issue 079: Responses of the Stock Market to Macroeconomic Announcements Across Economic States (1998)

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Responses of the Stock Market to Macroeconomic Announcements Across Economic States

Author:

Zuliu Hu

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Li Li

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Series:: IMF Working Papers

Volume/Issue:: Volume 1998: Issue 079

Language:: English

Publication Date:: 01 May 1998

DOI:: https://doi.org/10.5089/9781451850178.001

ISBN:: 9781451850178

ISSN:: 1018-5941

Pages:: 29

Keywords:: WP; discount rate; stock market; monetary policy; financial market; Stock markets; macroeconomic news; large caps; small caps; announcement effect; market participant; durable goods; inflation rate; normalized stock indices; discount rate surprise; inflation expectation effect; business day; monetary policy stance; A. stock indices; stock return; market behavior; Asset prices; Discount rates; Inflation; Industrial production

Legal-disclaimer:: IMF Working Papers describe research in progress by the author(s) and are published to elicit comments and to encourage debate. The views expressed in IMF Working Papers are those of the author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management.

Series:: IMF Working Papers

Volume/Issue:: Volume 1998: Issue 079

Language:: English

Publication Date:: 01 May 1998

DOI:: https://doi.org/10.5089/9781451850178.001

ISBN:: 9781451850178

ISSN:: 1018-5941

Pages:: 29

Keywords:: WP; discount rate; stock market; monetary policy; financial market; Stock markets; macroeconomic news; large caps; small caps; announcement effect; market participant; durable goods; inflation rate; normalized stock indices; discount rate surprise; inflation expectation effect; business day; monetary policy stance; A. stock indices; stock return; market behavior; Asset prices; Discount rates; Inflation; Industrial production

Legal-disclaimer:: IMF Working Papers describe research in progress by the author(s) and are published to elicit comments and to encourage debate. The views expressed in IMF Working Papers are those of the author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management.

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Is the stock market responsive to macroeconomic news? This paper employs the daily returns of the Dow Jones Industrial Index, the S&P 500 index, the Russell 1000 index, and the Russell 2000 index to examine stock market reactions to a broad list of macroeconomic announcements, including money supply, inflation, employment, housing starts, and trade balances, etc. Several announcements concerning real economic activity that have received little attention in previous research are shown to have a significant impact on stock prices. The paper also presents preliminary evidence for the different reaction to macroeconomic news by small cap stocks and large cap stocks.

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IMF Working Papers

ISSN:: 1018-5941

Publisher:: International Monetary Fund

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