Money and stock prices in the United States

1993 ◽  
Vol 3 (1) ◽  
pp. 51-54 ◽  
Author(s):  
Apostolos Serletis
Keyword(s):  
United States ◽  
Stock Prices ◽  
The United States

The Nexus Between Johannesburg Stock Exchange and the United States Unemployment Rate Announcement: An Impulse Response Analysis

2018 ◽  
Vol 10 (3(J)) ◽  
pp. 160-168
Author(s):  
Misheck Mutize ◽  
Victor Virimai Mugobo
Keyword(s):  
United States ◽  
South African ◽  
Impulse Response ◽  
Unemployment Rate ◽  
Stock Prices ◽  
Stock Exchange ◽  
The United States ◽  
Response Analysis ◽  
Johannesburg Stock Exchange ◽  
The Us

The study explores the relationship between the unemployment rate in the United States and South Africa’s stock prices from the beginning of 2013 to the last day 2017. The objective of this paper is to examine the impact of the US unemployment rate announcement on the South African financial market. Results of Impulse Response analysis show that there is a very minimal impact from the US unemployment announcement to South Africa’s stock prices which disappears within two days of the announcement. In addition, the Johannesburg stock exchange index marginally responds to own shocks, which marginally fades away within two days. These findings imply that the changes in the US employment policies have a direct ripple effect on the South African macroeconomic environment, its investing public sentiments and corporate confidence on the future prospects of businesses.

scholarly journals Unknown Unknowns: Uncertainty About Risk and Stock Returns

2018 ◽  
Vol 53 (4) ◽  
pp. 1615-1651 ◽  
Author(s):  
Guido Baltussen ◽  
Sjoerd van Bekkum ◽  
Bart van der Grient
Keyword(s):  
United States ◽  
Stock Returns ◽  
Stock Prices ◽  
Stock Markets ◽  
The United States ◽  
Pricing Mechanism ◽  
European Stock Markets ◽  
Low Uncertainty ◽  
High Uncertainty

Stocks with high uncertainty about risk, as measured by the volatility of expected volatility (vol-of-vol), robustly underperform stocks with low uncertainty about risk by 8% per year. This vol-of-vol effect is distinct from (combinations of) at least 20 previously documented return predictors, survives many robustness checks, and holds in the United States and across European stock markets. We empirically explore the pricing mechanism behind the vol-of-vol effect. The evidence points toward preference-based explanations and away from alternative explanations. Collectively, our results show that uncertainty about risk is highly relevant for stock prices.

scholarly journals Dependence in the Banking Sector of the United States and Mexico: A Copula Approach

2021 ◽  
Vol 16 (TNEA) ◽  
pp. 1-23
Author(s):  
Christian Bucio Pacheco ◽  
Luis Villanueva ◽  
Raúl de Jesús Gutiérrez
Keyword(s):  
United States ◽  
Stock Prices ◽  
Banking Sector ◽  
Tail Dependence ◽  
The United States ◽  
Small Sample ◽  
High Dependency ◽  
The Us ◽  
Rolling Windows ◽  
Main Banks

The objective of this work is to estimate the patterns of dependence between the yields of the stock prices of the main banks of the United States (US) and Mexico. We estimate the patterns of absolute dependence and tail dependence through copulas of the Archimedean family and the use of rolling windows of 245 days. The data employed come from the daily share prices at closing from January 2, 2015, to December 31, 2020, for seven banks. Our results show that: i) there are patterns of high dependence among the main banks in the US, ii) there are patterns of very low dependence among the main banks in the US and Mexico, and iii) there are patterns of low dependence among the main banks in Mexico. These results have several implications, among them that the high-dependency patterns obtained among major US banks limit the joint selection of these US bank equity assets in an investment portfolio. Although this paper focuses on a small sample of banks, they represent an important portion of the banking sector in both countries. Given the limited literature on this subject in Mexico, our paper contributes to expanding this literature with a novel approach.

scholarly journals Macroeconomic News and Stock Returns in the United States and Germany

2006 ◽  
Vol 7 (2) ◽  
pp. 189-210 ◽  
Author(s):  
Norbert Funke ◽  
Akimi Matsuda
Keyword(s):  
United States ◽  
Interest Rates ◽  
Stock Returns ◽  
Stock Prices ◽  
The United States ◽  
Good News ◽  
Macroeconomic News ◽  
Hourly Data ◽  
Different Types ◽  
The Impact

Abstract Using daily data for the January 1997 to June 2002 period, we analyze similarities and differences in the impact of macroeconomic news on stock returns in the United States and Germany. We consider 27 different types of news for the United States and 12 different types of news for Germany. For the United States, we present evidence for asymmetric reactions of stock prices to news. In a boom (recession) period, bad (good) news on GDP growth and unemployment or lower (higher) than expected interest rates may be good news for stock prices. In the period under consideration there is little evidence for asymmetric effects in Germany. However, in the case of Germany, international news appears at least as important as domestic news. There is no evidence that US stock prices are influenced by German news. The analysis of bi-hourly data for Germany confirms these results.

scholarly journals Fiscal policy shocks and stock prices in the United States

2020 ◽  
Vol 129 ◽  
pp. 103562 ◽  
Author(s):  
Haroon Mumtaz ◽  
Konstantinos Theodoridis
Keyword(s):  
United States ◽  
Fiscal Policy ◽  
Stock Prices ◽  
The United States ◽  
Policy Shocks

scholarly journals Technological Revolutions and Stock Prices

2009 ◽  
Vol 99 (4) ◽  
pp. 1451-1483 ◽  
Author(s):  
Ľuboš Pástor ◽  
Pietro Veronesi
Keyword(s):  
United States ◽  
Equilibrium Model ◽  
Stock Prices ◽  
New Technology ◽  
Empirical Support ◽  
The United States ◽  
Internet Technologies ◽  
Ex Post ◽  
Ex Ante ◽  
High Uncertainty

We develop a general equilibrium model in which stock prices of innovative firms exhibit “bubbles” during technological revolutions. In the model, the average productivity of a new technology is uncertain and subject to learning. During technological revolutions, the nature of this uncertainty changes from idiosyncratic to systematic. The resulting bubbles in stock prices are observable ex post but unpredictable ex ante, and they are most pronounced for technologies characterized by high uncertainty and fast adoption. We find empirical support for the model's predictions in 1830–1861 and 1992–2005 when the railroad and Internet technologies spread in the United States. (JEL G12, L86, L92, N21, N22, N71, N72)

scholarly journals A Natural Experiment in Monetary Policy Covering Three Episodes of Growth and Decline in the Economy and the Stock Market

2005 ◽  
Vol 19 (4) ◽  
pp. 145-150 ◽  
Author(s):  
Milton Friedman
Keyword(s):  
United States ◽  
Monetary Policy ◽  
Stock Market ◽  
Stock Prices ◽  
Natural Experiment ◽  
National Income ◽  
The United States ◽  
Monetary Policies ◽  
Rapid Economic Growth

The third of three episodes in a major natural experiment in monetary policy that started more than 80 years ago is just now coming to an end. The experiment consists in observing the effect on the economy and the stock market of the monetary policies followed during and after three very similar periods of rapid economic growth in response to rapid technological change: the booms of the 1920s in the United States, the 1980s in Japan and the 1990s in the United States. In this experiment, the quantity of money is the counterpart of the experimenter's input. The performance of the economy and the level of the stock market are the counterpart of the experimenter's output. The results of this natural experiment are clear, at least for major ups and downs: what happens to the quantity of money has a determinative effect on what happens to national income and to stock prices. The results strongly support Anna Schwartz's and my 1963 conjecture about the role of monetary policy in the Great Contraction. They also support the view that monetary policy deserves much credit for the mildness of the recession that followed the collapse of the U.S. boom in late 2000.

The impact of foreign participation on stock prices in the United States

2012 ◽  
Vol 19 (18) ◽  
pp. 1841-1845
Author(s):  
Shakil Quayes ◽  
Abu Jamal ◽  
Tanweer Hasan
Keyword(s):  
United States ◽  
Stock Prices ◽  
The United States ◽  
The Impact
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