Responses of the Stock Market to Macroeconomic Announcements Across Economic States

Zuliu Hu and Li Li

No 1998/079, IMF Working Papers from International Monetary Fund

Abstract: Is the stock market responsive to macroeconomic news? This paper employs the daily returns of the Dow Jones Industrial Index, the S&P 500 index, the Russell 1000 index, and the Russell 2000 index to examine stock market reactions to a broad list of macroeconomic announcements, including money supply, inflation, employment, housing starts, and trade balances, etc. Several announcements concerning real economic activity that have received little attention in previous research are shown to have a significant impact on stock prices. The paper also presents preliminary evidence for the different reaction to macroeconomic news by small cap stocks and large cap stocks.

Keywords: WP; discount rate; stock market; monetary policy; financial market; Stock markets; macroeconomic news; large caps; small caps; announcement effect; market participant; durable goods; inflation rate; normalized stock indices; discount rate surprise; inflation expectation effect; business day; monetary policy stance; A. stock indices; stock return; market behavior; Asset prices; Discount rates; Inflation; Industrial production (search for similar items in EconPapers)
Pages: 29
Date: 1998-05-01
References: Add references at CitEc
Citations: View citations in EconPapers (29)

Downloads: (external link)
http://www.imf.org/external/pubs/cat/longres.aspx?sk=2635 (application/pdf)

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:imf:imfwpa:1998/079

Ordering information: This working paper can be ordered from
http://www.imf.org/external/pubs/pubs/ord_info.htm

Access Statistics for this paper

More papers in IMF Working Papers from International Monetary Fund International Monetary Fund, Washington, DC USA. Contact information at EDIRC.
Bibliographic data for series maintained by Akshay Modi ().