Macroeconomic information and stock prices

The paper analyzes the response of stock prices to the announcements of 15 representative macroeconomic variables. Stock prices respond primarily to announcements of monetary variables. Stocks of financial companies are the most sensitive to monetary news. Implicit in the stock price reactions are t...

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Bibliographic Details
Published in:Journal of economics and business 1987-05, Vol.39 (2), p.131-140
Main Author: Hardouvelis, Gikas A.
Format: Article
Language:English
Subjects:
Economic theory
Hypotheses
Information
Macroeconomics
Money supply
Regression analysis
Stock exchanges
Stock prices
Studies
Treasury bills
Treasury bonds
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Summary:The paper analyzes the response of stock prices to the announcements of 15 representative macroeconomic variables. Stock prices respond primarily to announcements of monetary variables. Stocks of financial companies are the most sensitive to monetary news. Implicit in the stock price reactions are the market perceptions that the Federal Reserve plays an important role in future macroeconomic developments. The post-October 1982 change in the operating target of the Federal Reserve did not affect the stock price responses substantially, although it did affect the corresponding responses of short-term interest rates.
ISSN:0148-6195
1879-1735
DOI:10.1016/0148-6195(87)90012-9