Dimitri Tsiribas



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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


Project Designation

Independent Research

Primary Advisor

Robert Dean, Trevor Collier

Primary Advisor's Department

Economics and Finanace


Stander Symposium project


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