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GDP announcements and stock prices

Yoshito Funashima, Nobuo Iizuka and Yoshihiro Ohtsuka

Journal of Economics and Business, 2020, vol. 108, issue C

Abstract: Timely GDP announcements seem to be a useful approach for communicating immediate macroeconomic conditions; however, inaccuracy might instead trigger financial market turmoil. This study examines the stock market response to GDP announcements in Japan and provides several insights into the trade-off between timeliness and accuracy. First, the effect of the initial GDP announcement on stock price is tenuous at best, suggesting little useful information in the provisional estimates. Second, the stock market responds keenly to the first revision, but poorly to the second revision. Finally, depending on the expenditure components of GDP, the revisions cause over- and under-reactions, and thus, are different destabilizing factors in stock prices.

Keywords: GDP announcements; Data revisions; Stock prices (search for similar items in EconPapers)
JEL-codes: C58 E44 G14 (search for similar items in EconPapers)
Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jebusi:v:108:y:2020:i:c:s0148619519302772

DOI: 10.1016/j.jeconbus.2019.105872

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