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首页> 外文期刊>International Journal of Statistics and Applications >Statistically Significant Relationships between Returns on FTSE 100, S&P 500 Market Indexes and Macroeconomic Variables with Emphasis on Unconventional Monetary Policy
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Statistically Significant Relationships between Returns on FTSE 100, S&P 500 Market Indexes and Macroeconomic Variables with Emphasis on Unconventional Monetary Policy

机译：FTSE 100，S＆P 500市场指数收益与宏观经济变量之间的统计显着性关系，强调非常规货币政策

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摘要

Establishing the nature of relationships between macroeconomic variables and stock market returns are imperative to investors and understanding the stock market dynamics in any country. These relationships have been extensively studied in both emerging and the developed stock markets. By employing vector error correction and cointegration techniques, this current study established the statistically significant long-run and short-run causal relationships between macroeconomic variables and the stock market returns of FTSE100 and S&P500 stock market indexes in the United Kingdom and United States respectively. The macroeconomic variables employed include industrial production index, short-term interest rates, exchange rates, consumer price index and unemployment rates in addition to broad money supply M3 that was included as an exogenous variable. Also global financial crisis was introduced, as a dummy variable to capture structural breaks inherent in the data. Empirical results showed that significant long-run relationship existed between stock market returns and industrial production index, interest rates, and consumer price index in the United Kingdom while stock market returns in the United States was influenced by all variables except industrial production index. Furthermore, results indicated that it takes longer for stock market returns to adjust to its long-run equilibrium in the UK than in the US. In the short-run, industrial production index, short-term interest rates, and unemployment rates have no significant causal link with returns on FTSE100. Similarly, industrial production index and exchange rates have no significant short-run causality with returns on S&P500. Unconventional monetary policies (Quantitative Easing or Large-Scale Assets Purchases) adopted by Federal Reserve have positive impact on the S&P500 stock market returns.
机译：建立宏观经济变量与股票市场收益之间关系的性质对投资者和了解任何国家的股票市场动态都是至关重要的。这些关系已在新兴和发达股票市场中广泛研究。通过使用矢量误差校正和协整技术，本研究建立了英国和美国分别在FTSE100和S＆P500股票市场指数的宏观经济变量与股票市场收益之间的统计上显着的长期和短期因果关系。除了作为一个外生变量包括的广义货币供应量M3之外，所采用的宏观经济变量还包括工业生产指数，短期利率，汇率，消费物价指数和失业率。此外，还引入了全球金融危机，作为虚拟变量来捕获数据中固有的结构性中断。实证结果表明，英国的股票市场收益率与工业生产指数，利率和消费者价格指数之间存在着长期的长期关系，而美国的股票市场收益率受到除工业生产指数以外的所有变量的影响。此外，结果表明，与美国相比，英国的股票市场回报要适应其长期均衡需要更长的时间。从短期来看，工业生产指数，短期利率和失业率与FTSE100的收益没有显着的因果关系。同样，工业生产指数和汇率对标普500指数的回报也没有明显的短期因果关系。美联储采取的非常规货币政策（量化宽松或大规模资产购买）对S＆P500股票市场的收益产生积极影响。

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