Presenter(s)

    Dimitri Tsiribas

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    Description

    In this study I want to extend the empirical research of the Chen, Ross, and Roll in the late 1980’s by reexamining the relationship between industrial activity and the stock market.* My approach differs from theirs in that I will use the 10 S&P 500 sectors rather than the overall market indexes to analyze price movements. My period of analysis will be 2002-2013, with 2013 an out-of-sample period. Within the sample period, there are 3 distinct market phases that can be clearly identified. First, there is the upswing period of 2002-2007. Next, there is the downswing period of 2008-1st quarter 2009. Finally, there is the rebound/upswing period from 2nd quarter 2009 through 2012. Monthly, quarterly, and yearly data will be analyzed. In this study I want to test the hypothesis that sector price movements are directly related to industrial activity. I plan to measure industrial activity in 3 different ways: 1. Industrial Production (IP) 2. Industrial Capacity Utilization (ICU) 3. Manufacturing Production (MP) Using regression analysis, and running the regressions over monthly, quarterly, and yearly data, I plan to utilize the following linear models: 1. Rst = a + b IPt 2. Rst = a + b ICUt 3. Rst = a + b MPt The hypothesis test is b > 0 and the t stat > 2.

    Publication Date

    4-9-2014

    Project Designation

    Independent Research

    Primary Advisor

    Robert Dean, Trevor Collier

    Primary Advisor's Department

    Economics and Finanace

    Keywords

    Stander Symposium project

    Disciplines

    Arts and Humanities | Business | Education | Engineering | Life Sciences | Medicine and Health Sciences | Physical Sciences and Mathematics | Social and Behavioral Sciences

    An Empirical Analysis of the Relationship Between S&P Sector Price Movements and Industrial Production

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