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Business Cycle Asymmetry and the Stock Market

Author

Listed:
  • Param Silvapulle

    (Department of Economics and Finance, La Trobe University)

  • Mervyn J Silvapulle

    (Department of Economics and Finance, La Trobe University)

Abstract

This paper investigates whether the systematic asymmetric behaviour of the US unemployment rate can be explained by the stock market. We consider threshold models to capture the asymmetric relationship between quarterly US unemployment rate and Dow Jones Industrial Average (DJ) stock returns. We test a range of null hypotheses of equality restrictions against inequality constraints and the composite null hypothesis involving "steepness" in business cycles.

Suggested Citation

  • Param Silvapulle & Mervyn J Silvapulle, 1997. "Business Cycle Asymmetry and the Stock Market," Working Papers 1997.22, School of Economics, La Trobe University.
    • Handle: RePEc:ltr:wpaper:1997.22
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    Cited by:

    1. Jason S. Seligman & Jeffrey B. Wenger, 2005. "Asynchronous Risk: Unemployment, Equity Markets, and Retirement Savings," Upjohn Working Papers 05-114, W.E. Upjohn Institute for Employment Research.
    2. Christopher Bajada, 2005. "Unemployment and the underground economy in Australia," Applied Economics, Taylor & Francis Journals, vol. 37(2), pages 177-189.
    3. Christopher Bajada & Friedrich Schneider, 2009. "Unemployment and the Shadow Economy in the oecd," Revue économique, Presses de Sciences-Po, vol. 60(5), pages 1033-1067.

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