How do stock prices respond to fundamental shocks in the case of the United States? Evidence from NASDAQ and DJIA

Rosmy Jean Louis and Tarek Eldomiaty

The Quarterly Review of Economics and Finance, 2010, vol. 50, issue 3, 310-322

Abstract: In this paper, we use both the Dow Jones and NASDAQ indices to test the robustness of Binswanger's (2004c) finding that US stock market dynamics are governed mostly by nonfundamental shocks or speculative bubbles after the 1982 debt crisis. We estimate a total of 72 SVAR models and 36 SVECM models. We determine that the findings are robust indeed and that fundamental shocks have become less and less important over the years, irrespective of which US stock market index is considered.

Keywords: DJIA; NASDAQ; Fundamental; and; non-fundamental; variables; SVAR; SVECM (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (15)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:quaeco:v:50:y:2010:i:3:p:310-322

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