Skip to main content

LUP Student Papers

LUND UNIVERSITY LIBRARIES

Reaction of U.S. Stock Market in Different Economic Conditions

Li, Yanan LU (2021) NEKN01 20211
Department 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:
author
Li, Yanan LU
supervisor
organization
course
NEKN01 20211
year
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}},
}