Presenter(s)
David A. Christian, Matt G. Putbrese
Files
Download Project (263 KB)
Description
The purchasing managers' index (PMI) is considered a leading indicator of U.S. manufacturing activity as well as overall economic activity. Financial markets respond quickly to above or below trend movements in PMI. In this study I develop regression models that specify the relationship between PMI and each of the 10 SPDR ETFs. I test the hypothesis that b>0 i.e. that SPDR ETF prices covary directly with changes in the PMI index. Using log linear models, I also test the hypothesis that the response coefficients are relatively elastic i.e. b>1. I use monthly data to construct the models. The overall time period analyzed is 2004-2014.Two subperiods are also evaluated (1) 2004-2008 and (2) 2009-2014.
Publication Date
4-9-2015
Project Designation
Independent Research
Primary Advisor
Trevor C. Collier
Primary Advisor's Department
Economics and Finance
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
Recommended Citation
"Macro Economic Activity and Sector Price Movements: A Closer Look at PMI Data" (2015). Stander Symposium Projects. 624.
https://ecommons.udayton.edu/stander_posters/624
Included in
Arts and Humanities Commons, Business Commons, Education Commons, Engineering Commons, Life Sciences Commons, Medicine and Health Sciences Commons, Physical Sciences and Mathematics Commons, Social and Behavioral Sciences Commons
