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https://www.um.edu.mt/library/oar/handle/123456789/31989| Title: | Α GARCH examination of macroeconomic effects on U.S. stock market : a distinction between the total market index and the sustainability index |
| Authors: | Sariannidis, Nikolaos Giannarakis, Grigoris Litinas, Nicolaos Konteos, George |
| Keywords: | Stock exchanges -- United States Social responsibility of business -- United States Dow Jones averages GARCH model Macroeconomics |
| Issue Date: | 2010 |
| Publisher: | University of Piraeus. International Strategic Management Association |
| Citation: | Sariannidis, N., Giannarakis, G., Litinas, N., & Konteos, G. (2010). Α GARCH examination of macroeconomic effects on U.S. stock market : a distinction between the total market index and the sustainability index. European Research Studies Journal, 13(1), 129-142. |
| Abstract: | The paper examines the impact of several macroeconomic variables on the Dow Jones Sustainability and Dow Jones Wilshire 5000 indexes, using a GARCH model and monthly data for the period January, 2000 to January, 2008. The results show that changes in returns of crude oil prices affect negatively the U.S. stock market, contrary to changes in returns of the 10-year bond value that affect it positively. Both economic indicators influence the DJSI with a month delay. Also, the exchange rate volatility affects negatively the returns of the U.S. stock market and the non-farm payroll can be characterised as a stabilising factor for the DJSI. |
| URI: | https://www.um.edu.mt/library/oar//handle/123456789/31989 |
| Appears in Collections: | European Research Studies Journal, Volume 13, Issue 1 |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| ERSJ,_13(1)_-_A9.pdf | 224.29 kB | Adobe PDF | View/Open |
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