Do U.S. macroeconomic surprises influence equity returns? An exploratory analysis of developed economies

Manohar Singh, Ali Nejadmalayeri, Brian Lucey

Research output: Contribution to journalArticle

8 Citations (Scopus)

Abstract

Given the dominant role the U.S. economy plays in global trade, we explore how U.S. macroeconomic surprises affect stock markets in ten major developed economies as well as in China and India. We do not find strong enough evidence to conclude that U.S. macro shocks materially and consistently influence equity returns and volatilities in the economies studied. Consistent with previous research, it appears that only in few markets are return levels materially influenced by macro surprises generated in the U.S. Also, only a small number of macro shocks seem to be of any consistent significance. For returns levels, inflation, productivity, consumer confidence, and retail sales seem to matter. At the same time, conditional volatilities appear to be influenced by inflation, retail sales, durable goods, industrial production, consumer confidence, gross domestic product, and trade balance surprises. Finally, our exploratory analysis indicates that the degree of bilateral trade connectedness may partially explain the extent to which macroeconomic surprises are transmitted across countries.

Original languageEnglish (US)
Pages (from-to)476-485
Number of pages10
JournalQuarterly Review of Economics and Finance
Volume53
Issue number4
DOIs
StatePublished - Nov 1 2013

Fingerprint

Equity returns
Macroeconomics
Surprise
Consumer confidence
Inflation
Retail
Productivity
Conditional volatility
Industrial production
Stock market
US economy
China
Global trade
Bilateral trade
Connectedness
Gross domestic product
Trade balance
India

All Science Journal Classification (ASJC) codes

  • Finance
  • Economics and Econometrics

Cite this

Singh, Manohar ; Nejadmalayeri, Ali ; Lucey, Brian. / Do U.S. macroeconomic surprises influence equity returns? An exploratory analysis of developed economies. In: Quarterly Review of Economics and Finance. 2013 ; Vol. 53, No. 4. pp. 476-485.
@article{bd164d200ca148158153ad8825eff6d0,
title = "Do U.S. macroeconomic surprises influence equity returns? An exploratory analysis of developed economies",
abstract = "Given the dominant role the U.S. economy plays in global trade, we explore how U.S. macroeconomic surprises affect stock markets in ten major developed economies as well as in China and India. We do not find strong enough evidence to conclude that U.S. macro shocks materially and consistently influence equity returns and volatilities in the economies studied. Consistent with previous research, it appears that only in few markets are return levels materially influenced by macro surprises generated in the U.S. Also, only a small number of macro shocks seem to be of any consistent significance. For returns levels, inflation, productivity, consumer confidence, and retail sales seem to matter. At the same time, conditional volatilities appear to be influenced by inflation, retail sales, durable goods, industrial production, consumer confidence, gross domestic product, and trade balance surprises. Finally, our exploratory analysis indicates that the degree of bilateral trade connectedness may partially explain the extent to which macroeconomic surprises are transmitted across countries.",
author = "Manohar Singh and Ali Nejadmalayeri and Brian Lucey",
year = "2013",
month = "11",
day = "1",
doi = "10.1016/j.qref.2013.05.002",
language = "English (US)",
volume = "53",
pages = "476--485",
journal = "Quarterly Review of Economics and Finance",
issn = "1062-9769",
publisher = "Elsevier",
number = "4",

}

Do U.S. macroeconomic surprises influence equity returns? An exploratory analysis of developed economies. / Singh, Manohar; Nejadmalayeri, Ali; Lucey, Brian.

In: Quarterly Review of Economics and Finance, Vol. 53, No. 4, 01.11.2013, p. 476-485.

Research output: Contribution to journalArticle

TY - JOUR

T1 - Do U.S. macroeconomic surprises influence equity returns? An exploratory analysis of developed economies

AU - Singh, Manohar

AU - Nejadmalayeri, Ali

AU - Lucey, Brian

PY - 2013/11/1

Y1 - 2013/11/1

N2 - Given the dominant role the U.S. economy plays in global trade, we explore how U.S. macroeconomic surprises affect stock markets in ten major developed economies as well as in China and India. We do not find strong enough evidence to conclude that U.S. macro shocks materially and consistently influence equity returns and volatilities in the economies studied. Consistent with previous research, it appears that only in few markets are return levels materially influenced by macro surprises generated in the U.S. Also, only a small number of macro shocks seem to be of any consistent significance. For returns levels, inflation, productivity, consumer confidence, and retail sales seem to matter. At the same time, conditional volatilities appear to be influenced by inflation, retail sales, durable goods, industrial production, consumer confidence, gross domestic product, and trade balance surprises. Finally, our exploratory analysis indicates that the degree of bilateral trade connectedness may partially explain the extent to which macroeconomic surprises are transmitted across countries.

AB - Given the dominant role the U.S. economy plays in global trade, we explore how U.S. macroeconomic surprises affect stock markets in ten major developed economies as well as in China and India. We do not find strong enough evidence to conclude that U.S. macro shocks materially and consistently influence equity returns and volatilities in the economies studied. Consistent with previous research, it appears that only in few markets are return levels materially influenced by macro surprises generated in the U.S. Also, only a small number of macro shocks seem to be of any consistent significance. For returns levels, inflation, productivity, consumer confidence, and retail sales seem to matter. At the same time, conditional volatilities appear to be influenced by inflation, retail sales, durable goods, industrial production, consumer confidence, gross domestic product, and trade balance surprises. Finally, our exploratory analysis indicates that the degree of bilateral trade connectedness may partially explain the extent to which macroeconomic surprises are transmitted across countries.

UR - http://www.scopus.com/inward/record.url?scp=84888293318&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=84888293318&partnerID=8YFLogxK

U2 - 10.1016/j.qref.2013.05.002

DO - 10.1016/j.qref.2013.05.002

M3 - Article

AN - SCOPUS:84888293318

VL - 53

SP - 476

EP - 485

JO - Quarterly Review of Economics and Finance

JF - Quarterly Review of Economics and Finance

SN - 1062-9769

IS - 4

ER -