Document Type
Article
Publication Title
Journal of Economic Analysis
Publication Date
2024
Abstract
This paper examines the information content of selected US industries focusing on the dynamic linkages among these industries, the stock market and a number of fundamental variables. The period of investigation spans from January 1960 to December 2021. The empirical strategy includes several methodologies such as regressions, vector autoregressions and volatility models. The idea is to investigate the dynamic linkages among these series at both the mean and the volatility levels. The results point to significant industry returns’ explanatory power for many predictors of economic activity including the stock market. Further, time-varying analysis of the linkages among the industries and the stock market’s returns reveal that certain industries such as Oil and Financials provide consistent information leadership over other industries and across decades. Further, upon assessing the industry–market return volatility spillovers, it was found that a market risk–return profile may not always be economically significant and timely for investors. Finally, crises, financial or otherwise, affect industries but to differing degrees.
Volume
87
DOI
https://doi.org/10.58567/jea04010001
Recommended Citation
Laopodis, N. T. (2024). Are Industry Returns Informative about Other Industries and Fundamentals?. Journal of Economic Analysis, 87.
ISSN
2811-0943
Comments
Published in: Journal of Economic Analysis, March, 2024.