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Macroeconomic Variables And Stock Markets: An International Study

Author

Listed:
  • Francisco JAREÑO
  • Ana ESCRIBANO
  • Alberto CUENCA

Abstract

This paper studies the potential correlation between the stock market of six relevant countries (Germany, Italy, Spain, France, UK and US) and some important macroeconomic factors, such as the gross domestic product (GDP), the consumer price index (CPI), the industrial production index (IPI) and the unemployment (UNEMP). GDP and UNEMP show statistically significant correlation with these international stock markets, mainly in the crisis sub-period, finding, in addition, the expected signs.

Suggested Citation

  • Francisco JAREÑO & Ana ESCRIBANO & Alberto CUENCA, 2019. "Macroeconomic Variables And Stock Markets: An International Study," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 19(1), pages 43-54.
    • Handle: RePEc:eaa:aeinde:v:19:y:2019:i:1_4
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    File URL: http://www.usc.es/~economet/reviews/aeid1914.pdf
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    References listed on IDEAS

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    1. Schwert, G William, 1990. "Stock Returns and Real Activity: A Century of Evidence," Journal of Finance, American Finance Association, vol. 45(4), pages 1237-1257, September.
    2. Wasserfallen, Walter, 1989. "Macroeconomics news and the stock market: Evidence from Europe," Journal of Banking & Finance, Elsevier, vol. 13(4-5), pages 613-626, September.
    3. Chen, Nai-Fu & Roll, Richard & Ross, Stephen A, 1986. "Economic Forces and the Stock Market," The Journal of Business, University of Chicago Press, vol. 59(3), pages 383-403, July.
    4. Andreas Humpe & Peter Macmillan, 2009. "Can macroeconomic variables explain long-term stock market movements? A comparison of the US and Japan," Applied Financial Economics, Taylor & Francis Journals, vol. 19(2), pages 111-119.
    Full references (including those not matched with items on IDEAS)

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    Cited by:

    1. Zhuhua Jiang & Rim El Khoury & Muneer M. Alshater & Seong‐Min Yoon, 2024. "Impact of global macroeconomic factors on spillovers among Australian sector markets: Fresh findings from a wavelet‐based analysis," Australian Economic Papers, Wiley Blackwell, vol. 63(1), pages 78-105, March.

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    More about this item

    Keywords

    International Stock Market; Macroeconomic Factors; Correlation Analysis; US; European Countries.;
    All these keywords.

    JEL classification:

    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • F44 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - International Business Cycles
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • O40 - Economic Development, Innovation, Technological Change, and Growth - - Economic Growth and Aggregate Productivity - - - General
    • O51 - Economic Development, Innovation, Technological Change, and Growth - - Economywide Country Studies - - - U.S.; Canada

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