AN ABSTRACT OF THE THESIS OFSamridha Jung Rana, for the Master of Science degree in Economics, presented on November 10, 2022, at Southern Illinois University Carbondale.TITLE: MACROECONOMICS AND ANAMOLIES AS DETERMINANTS OF STOCK RETURNSMAJOR PROFESSOR: Dr. Scott GilbertAbstract: There is no general support to explain the strong correlation between the macroeconomic variables and the Standard & Poor 500 index fund returns. This thesis sheds some light on how the macroeconomic variables have impacted the monthly returns on the Standard & Poor 500 over the last decade. Firstly, we introduce the Standard & Poor 500 index and various macroeconomic factors influencing the U.S. economy over the years. Subsequently, investigating the casualty relationship between the monthly rate of returns, the consumer-producer index, the industrial producer index, Money Supply, Unemployment, inflation rate, and the exchange rate. The methodology used in this study includes a stepwise multiple regression model, Johansen cointegration test, Dickey-fuller augmented test, Phillip perron test, and the Granger Causality test. Furthermore, investigating stock market anomalies that have been verified immensely, such as the day-of-the-week Effect and month-of-the-year Effect, has also been explored to see whether those anomalies still exist in recent times.
Identifer | oai:union.ndltd.org:siu.edu/oai:opensiuc.lib.siu.edu:theses-4056 |
Date | 01 December 2022 |
Creators | Rana, Samridha Jung |
Publisher | OpenSIUC |
Source Sets | Southern Illinois University Carbondale |
Detected Language | English |
Type | text |
Format | application/pdf |
Source | Theses |
Page generated in 0.0021 seconds