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

Nikiforos Laopodis

Economic Modelling, 2016, vol. 53, issue C, 89-106

Abstract: 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.

Keywords: Industries; Fundamentals; Stock market; Business cycles; Causality; VAR (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (8)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:53:y:2016:i:c:p:89-106

DOI: 10.1016/j.econmod.2015.11.007

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