Reaction of U.S. Stock Market in Different Economic Conditions
(2021) NEKN01 20211Department of Economics
- Abstract
- This paper examines the reaction of the U.S. stock market to various economic conditions over the last two decades. The major finding reveals a substantial difference between the two subsamples segmented at the decade node. The presence of a moderating effect is highly significant only in subsample 1. The fitting evidence from GJR-GARCH is mixed. In the case of subsample 1, the significance of the recession dummy is rejected under this stricter criterion, but this rejection is reversed in the subsequent sub-period. This paper rejects the hypotheses based on existing theories, of which have only partially been empirically verified in the study.
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/student-papers/record/9054502
- author
- Li, Yanan LU
- supervisor
- organization
- course
- NEKN01 20211
- year
- 2021
- type
- H1 - Master's Degree (One Year)
- subject
- keywords
- Time-series, Recession, Interaction, Visualization
- language
- English
- id
- 9054502
- date added to LUP
- 2021-07-05 13:25:53
- date last changed
- 2021-07-05 13:25:53
@misc{9054502, abstract = {{This paper examines the reaction of the U.S. stock market to various economic conditions over the last two decades. The major finding reveals a substantial difference between the two subsamples segmented at the decade node. The presence of a moderating effect is highly significant only in subsample 1. The fitting evidence from GJR-GARCH is mixed. In the case of subsample 1, the significance of the recession dummy is rejected under this stricter criterion, but this rejection is reversed in the subsequent sub-period. This paper rejects the hypotheses based on existing theories, of which have only partially been empirically verified in the study.}}, author = {{Li, Yanan}}, language = {{eng}}, note = {{Student Paper}}, title = {{Reaction of U.S. Stock Market in Different Economic Conditions}}, year = {{2021}}, }