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The Impact of News
Macroeconomic News and Stock Returns During Different States
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bihourly data Bloomberg boom period business climate index business cycle business day Business inventory Capacity utilization CNN Money Construction spending Consumer confidence Consumer prices corresponding stock price cyclical stocks daily change Daily Stock Returns dependent variable dummy economy stocks efficient market hypothesis Employment cost index explanatory variable F-statistic federal funds rate five hypotheses FOMC meeting GARCH GDP advance GDP preliminary German stock market German stock prices Germany growth expectations higher-than-expected GDP growth higher-than-expected inflation IFO business climate impact on stock interest rates Leading indicator link between macroeconomic market expectations market reaction occurs month data Monthly month Nasdaq composite Nemax noncyclical stocks null hypothesis Number of observations p-value period is January Producer prices Q-Stat real sector recession period Retail sales significance level significant impact stock market developments stock market reaction stock price index surprise announcements survey data survey Index Table types of stocks U.S. stock Unemployment rate United Wholesale prices