Á GARCH Examination of Macroeconomic Effects on U.S. Stock Market: A Distinction Between the Total Market Index and the Sustainability Index

Nikolaos Sariannidis, Grigoris Giannarakis, Nicolaos Litinas and George Konteos

European Research Studies Journal, 2010, vol. XIII, issue 1, 129-142

Abstract: The paper examines the impact of several macroeconomic variables on the Dow Jones Sustainability and Dow Jones Wilshire 5000 indexes, using a GARCH model and monthly data for the period January, 2000 to January, 2008. The results show that changes in returns of crude oil prices affect negatively the U.S. stock market, contrary to changes in returns of the 10-year bond value that affect it positively. Both economic indicators influence the DJSI with a month delay. Also, the exchange rate volatility affects negatively the returns of the U.S. stock market and the non-farm payroll can be characterised as a stabilising factor for the DJSI.

Keywords: Corporate Social Responsibility; Dow Jones Sustainability Index; GARCH; macroeconomic indicators (search for similar items in EconPapers)
JEL-codes: C30 G12 G15 (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (8)

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Persistent link: https://EconPapers.repec.org/RePEc:ers:journl:v:xiii:y:2010:i:1:p:129-142

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