Responses of the Stock Market to Macroeconomic Announcements Across Economic States

May 1, 1998

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Format: Chicago

Zuliu Hu, and Li Li. Responses of the Stock Market to Macroeconomic Announcements Across Economic States, (USA: International Monetary Fund, 1998) accessed December 21, 2024

Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate

Summary

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.

Subject: Asset prices, Discount rates, Financial markets, Financial services, Industrial production, Inflation, Prices, Production, Stock markets

Keywords: A. stock indices, Announcement effect, Asset prices, Business day, Discount rate, Discount rate surprise, Discount rates, Durable goods, Financial market, Industrial production, Inflation, Inflation expectation effect, Inflation rate, Large caps, Macroeconomic news, Market behavior, Market participant, Monetary policy, Monetary policy stance, Normalized stock indices, Small caps, Stock market, Stock markets, Stock return, WP

Publication Details

Pages:

29
Volume:

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DOI:

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Issue:

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Series:

Working Paper No. 1998/079
Stock No:

WPIEA0791998
ISBN:

9781451850178
ISSN:

1018-5941

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