A systematic Panel Analysis of Equity-Sector Sensitivity to Macro-Financial Indicators

Minsung Park
Additional contact information
Minsung Park: Social Sciences Division, STEM Science Center, 111 Charlotte Place, Englewood Cliffs, NJ 08632, USA.

Post-Print from HAL

Abstract: Aims: This study systematically evaluates whether eight macro-financial indicators are associated with subsequent equity-sector returns and whether the observed relationships are sector-specific or predominantly market-wide. Study Design: An observational longitudinal panel design was applied to U.S. macro-financial indicators and exchange-traded-fund returns. Methodology: A monthly panel spanning 1993–2026 combined eight indicators representing credit conditions, corporate profitability, housing, labour, real money growth, household equity allocation, the yield curve, and the copper/gold ratio with fourteen equity tickers. Indicator observations were aligned to approximate publication timing, and 1-, 3-, 6-, and 12-month forward log returns were calculated. Associations were assessed using heteroskedasticity- and autocorrelation-consistent linear regressions and indicator-specific regime comparisons. Results: Associations were sparse at the 1-month horizon but became broader at 6- and 12-month horizons. The copper/gold ratio and household equity allocation showed the most pervasive inverse associations with subsequent returns. Temporary-help employment and corporate profit margin also displayed broader multi-quarter relationships, whereas housing starts and the 10-year minus 3-month yield-curve spread were comparatively weak. Several counterintuitive relationships were consistent with crisis-rebound or mean-reversion effects rather than stable causal prediction. Conclusion: The findings support a medium-horizon regime-association interpretation more strongly than short-term market timing and should be regarded as exploratory pending multiplicity correction, vintage-data validation, stability assessment, and genuine out-of-sample evaluation.

Date: 2026-09-07
References: Add references at CitEc
Citations:

Published in Journal of Economics, Management and Trade, 2026, 32 (10), pp.8-24

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

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:hal:journl:hal-05741821

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().