David A. Christian, Matt G. Putbrese
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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.
Trevor C Collier
Primary Advisor's Department
Economics and Finance
Stander Symposium poster
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"Macro Economic Activity and Sector Price Movements: A Closer Look at PMI Data" (2015). Stander Symposium Posters. 624.
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