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Article Dans Une Revue Finance Research Letters Année : 2022

Time-varying causality between stock prices and macroeconomic fundamentals: Connection or disconnection?

Résumé

This study investigates the connection/disconnection between the stock market and macroeconomic fundamentals in the United States from January 1960 to December 2021. Using a recent time-varying Granger causality framework, tests revealed asymmetric bidirectionnal causality. The lead-lag relationships between stock prices and key macroeconomic indicators are more prevalent during recession phases. However, the significance and intensity of the causal relationships during the Covid crisis varied greatly; which could indicate a possible disconnection.
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Dates et versions

hal-04206765 , version 1 (14-09-2023)

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Vincent Fromentin. Time-varying causality between stock prices and macroeconomic fundamentals: Connection or disconnection?. Finance Research Letters, 2022, 49, pp.103073. ⟨10.1016/j.frl.2022.103073⟩. ⟨hal-04206765⟩
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