GDP announcements and stock prices
Nobuo Iizuka and
Journal of Economics and Business, 2020, vol. 108, issue C
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)
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
Full text for ScienceDirect subscribers only
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:eee:jebusi:v:108:y:2020:i:c:s0148619519302772
Access Statistics for this article
Journal of Economics and Business is currently edited by Emanuele Bajo and Moritz Ritter
More articles in Journal of Economics and Business from Elsevier
Bibliographic data for series maintained by Catherine Liu ().