The Dynamic Relationship between Stock Market and Macroeconomy at Sectoral Level: Evidence from Chinese and US Stock Market

Zhenni Jin, Kun Guo and Pietro De Lellis

Complexity, 2021, vol. 2021, 1-16

Abstract: As a most important component of capital market, stock market has always been regarded as the “barometer†of macroeconomy. However, many researchers have found that the stock market is not always in the lead, especially for the emerging markets, and the leading role of different sector indices is also different for the corresponding sectors. From the perspective of a comparison between mature market and emerging market at sectoral level, this paper utilizes the thermal optimal method to examine the dynamic lead-lag relationships between stock sector indices and macroeconomic variables for the USA and China. The results show that, for the US stock market, three sector indices including consumption, industry, and real estate have been leading the corresponding macroeconomic variables since 2013; for the Chinese stock market, the lead-lag relationships are different for these sectors. The real estate sector index and the industry sector index have been leading the corresponding macroeconomic variables since 2010, and the lead-lag relationship between the consumption sector index and the total retail sales is not always positive or negative, which means that the consumption sector index does not always lead the total retail sales. The empirical results confirm that the “barometer function†of immature stock market is still weak and easier to be disabled by factors such as irrational market sentiment.

Date: 2021
References: Add references at CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
http://downloads.hindawi.com/journals/complexity/2021/6645570.pdf (application/pdf)
http://downloads.hindawi.com/journals/complexity/2021/6645570.xml (application/xml)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hin:complx:6645570

DOI: 10.1155/2021/6645570

Access Statistics for this article

More articles in Complexity from Hindawi
Bibliographic data for series maintained by Mohamed Abdelhakeem (mohamed.abdelhakeem@hindawi.com).