THE INFLUENCE OF MACROECONOMIC VARIABLES ON THE STOCK MARKET IN THE UNITED STATES OF AMERICA
The stock market is an important indicator of the growth and development of a country and its economy, especially the U.S. as a market-based financial system. The added importance of this capital market lies in the importance of the U.S. economy to the world, and, therefore, it is essential to under...
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Šibenik University of Applied Sciences
2022-12-01
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| Series: | Elektronički Zbornik Radova Veleučilišta u Šibeniku |
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| Online Access: | https://hrcak.srce.hr/file/418764 |
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| author | Josip Visković Marko Miletić Karlo Grbac |
| author_facet | Josip Visković Marko Miletić Karlo Grbac |
| author_sort | Josip Visković |
| collection | DOAJ |
| description | The stock market is an important indicator of the growth and development of a country and its economy, especially the U.S. as a market-based financial system. The added importance of this capital market lies in the importance of the U.S. economy to the world, and, therefore, it is essential to understand the determinants of changes in the U.S. stock market in order to understand expectations for future economic development. This paper, therefore, examines the impact of macroeconomic variables on the U.S. stock market. The study uses the augmented Dickey-Fuller test (ADF test), the Johansen cointegration test, and the Vector Error Correction Model (VECM). Monthly data from January 1995 to December 2019 were used. The study found a statistically significant positive impact of the index of industrial production, money aggregate M1, and long-term interest rates on the value of the S&P 500 index, and a statistically significant negative impact of the consumer price index. The impact of the short-term interest rate was not statistically significant. |
| format | Article |
| id | doaj-art-7507cfb877144d998961f3aa2806151a |
| institution | Kabale University |
| issn | 1846-6699 1846-6656 |
| language | English |
| publishDate | 2022-12-01 |
| publisher | Šibenik University of Applied Sciences |
| record_format | Article |
| series | Elektronički Zbornik Radova Veleučilišta u Šibeniku |
| spelling | doaj-art-7507cfb877144d998961f3aa2806151a2025-01-03T00:54:19ZengŠibenik University of Applied SciencesElektronički Zbornik Radova Veleučilišta u Šibeniku1846-66991846-66562022-12-01163-47792https://doi.org/10.51650/ezrvs.16.3-4.4THE INFLUENCE OF MACROECONOMIC VARIABLES ON THE STOCK MARKET IN THE UNITED STATES OF AMERICAJosip Visković0https://orcid.org/0000-0002-8797-1496Marko Miletić1https://orcid.org/0000-0002-6955-3047Karlo GrbacEkonomski fakultet Sveučilišta u Splitu, Split, HrvatskaSveučilišni odjel za stručne studije Sveučilišta u Splitu, Split, HrvatskaThe stock market is an important indicator of the growth and development of a country and its economy, especially the U.S. as a market-based financial system. The added importance of this capital market lies in the importance of the U.S. economy to the world, and, therefore, it is essential to understand the determinants of changes in the U.S. stock market in order to understand expectations for future economic development. This paper, therefore, examines the impact of macroeconomic variables on the U.S. stock market. The study uses the augmented Dickey-Fuller test (ADF test), the Johansen cointegration test, and the Vector Error Correction Model (VECM). Monthly data from January 1995 to December 2019 were used. The study found a statistically significant positive impact of the index of industrial production, money aggregate M1, and long-term interest rates on the value of the S&P 500 index, and a statistically significant negative impact of the consumer price index. The impact of the short-term interest rate was not statistically significant.https://hrcak.srce.hr/file/418764stock marketmacroeconomic variablesjohansen conitegration testvecm. |
| spellingShingle | Josip Visković Marko Miletić Karlo Grbac THE INFLUENCE OF MACROECONOMIC VARIABLES ON THE STOCK MARKET IN THE UNITED STATES OF AMERICA Elektronički Zbornik Radova Veleučilišta u Šibeniku stock market macroeconomic variables johansen conitegration test vecm. |
| title | THE INFLUENCE OF MACROECONOMIC VARIABLES ON THE STOCK MARKET IN THE UNITED STATES OF AMERICA |
| title_full | THE INFLUENCE OF MACROECONOMIC VARIABLES ON THE STOCK MARKET IN THE UNITED STATES OF AMERICA |
| title_fullStr | THE INFLUENCE OF MACROECONOMIC VARIABLES ON THE STOCK MARKET IN THE UNITED STATES OF AMERICA |
| title_full_unstemmed | THE INFLUENCE OF MACROECONOMIC VARIABLES ON THE STOCK MARKET IN THE UNITED STATES OF AMERICA |
| title_short | THE INFLUENCE OF MACROECONOMIC VARIABLES ON THE STOCK MARKET IN THE UNITED STATES OF AMERICA |
| title_sort | influence of macroeconomic variables on the stock market in the united states of america |
| topic | stock market macroeconomic variables johansen conitegration test vecm. |
| url | https://hrcak.srce.hr/file/418764 |
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