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Description

The purpose of this study is to determine the impact of macroeconomic pricing activity in the form of producer price indexes on stock market prices. Linear and log linear regressions are run on 18 different firms from six different 3-digit sic industries. The time period of analysis is 2004-2014 and monthly pricing data is used in the regressions. In order to see how the regression coefficients vary with time, separate regressions are run from 2004 through the 2nd quarter in 2008 and the third quarter in 2008 through 2014. A regression is run for the complete period 2004-2014 with a dummy variable used to identify the 2008 recession. The hypothesis to be tested is b>0, T stat>2 and R^2>0.

Publication Date

4-9-2015

Project Designation

Independent Research

Primary Advisor

Trevor C Collier

Primary Advisor's Department

Economics and Finance

Keywords

Stander Symposium poster

Disciplines

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

Producer Price Indexes as Determinants of Stock Market Prices: A Time Series Analysis for the Period 2004-2014

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