1. OAR@UM
  2. External Research Collection
  3. Social Sciences
  4. Finance
  5. European Research Studies Journal
  6. 2010
  7. European Research Studies Journal, Volume 13, Issue 1
Please use this identifier to cite or link to this item: https://www.um.edu.mt/library/oar/handle/123456789/31989
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dc.contributor.authorSariannidis, Nikolaos-
dc.contributor.authorGiannarakis, Grigoris-
dc.contributor.authorLitinas, Nicolaos-
dc.contributor.authorKonteos, George-
dc.date.accessioned2018-07-20T08:48:20Z-
dc.date.available2018-07-20T08:48:20Z-
dc.date.issued2010-
dc.identifier.citationSariannidis, 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.en_GB
dc.identifier.urihttps://www.um.edu.mt/library/oar//handle/123456789/31989-
dc.description.abstractThe 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.en_GB
dc.language.isoenen_GB
dc.publisherUniversity of Piraeus. International Strategic Management Associationen_GB
dc.rightsinfo:eu-repo/semantics/openAccessen_GB
dc.subjectStock exchanges -- United Statesen_GB
dc.subjectSocial responsibility of business -- United Statesen_GB
dc.subjectDow Jones averagesen_GB
dc.subjectGARCH modelen_GB
dc.subjectMacroeconomicsen_GB
dc.titleΑ GARCH examination of macroeconomic effects on U.S. stock market : a distinction between the total market index and the sustainability indexen_GB
dc.typearticleen_GB
dc.rights.holderThe copyright of this work belongs to the author(s)/publisher. The rights of this work are as defined by the appropriate Copyright Legislation or as modified by any successive legislation. Users may access this work and can make use of the information contained in accordance with the Copyright Legislation provided that the author must be properly acknowledged. Further distribution or reproduction in any format is prohibited without the prior permission of the copyright holder.en_GB
dc.description.reviewedpeer-revieweden_GB
dc.publication.titleEuropean Research Studies Journalen_GB
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