Artikel
The impact of macroeconomic factors on the German stock market: Evidence for the crisis, pre- and post-crisis periods
Today we live in a post-truth and highly digitalized era characterized by a flow of (mis-) information around the world. Identifying the impact of this information on stock markets and forecasting stock returns and volatilities has become a much more difficult task, perhaps almost impossible. This paper investigates the impact of macroeconomic factors, German government bond yields, sentiment and other leading indicators on the main German stock index, namely the DAX30, for the time period from 1991 to 2018. Using a dataset on 24 factors and over a timeframe of about 27 years, we found evidence that across most subsamples, the Composite Leading Indicator (OECD), the Institute for Economic Research (ifo) Export Expectations index, the ifo Export Climate index, exports, the Consumer Price Index CPI, as well as 3 y German government bonds yields show delayed impacts on stock returns. We further found that the delayed impact of the constituents of the monetary aggregate M2 on stock returns changed direction between the crisis and post-crisis periods. Overall, the results illustrate that in the crisis period a larger number of factors and economic indicators had significant impacts on the stock returns compared to the pre- and post-crisis periods. This implies that in the post-crisis period a macro-driven market prevails.
- Sprache
-
Englisch
- Erschienen in
-
Journal: International Journal of Financial Studies ; ISSN: 2227-7072 ; Volume: 7 ; Year: 2019 ; Issue: 2 ; Pages: 1-13 ; Basel: MDPI
- Klassifikation
-
Wirtschaft
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Financial Econometrics
Financial Markets and the Macroeconomy
Financial Crises
Information and Market Efficiency; Event Studies; Insider Trading
- Thema
-
financial markets & the macroeconomy
financial econometrics
monetary aggregates
information and market efficiency
financial crises
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Celebi, Kaan
Hönig, Michaela
- Ereignis
-
Veröffentlichung
- (wer)
-
MDPI
- (wo)
-
Basel
- (wann)
-
2019
- DOI
-
doi:10.3390/ijfs7020018
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:46 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Artikel
Beteiligte
- Celebi, Kaan
- Hönig, Michaela
- MDPI
Entstanden
- 2019
Ähnliche Objekte (12)
Forbearance Patterns in the Post-Crisis Period
The current macroeconomic crisis
The post-crisis global division of labor 2009
Post-Crisis Perspectives : The Common and its Powers
The post-crisis global division of labor 2009
Modern Monetary Theory: The post-Crisis economy misunderstood?
Post-crisis perspectives : the common and its powers
Macroeconomic and Financial Consequences of the Post-Crisis Government-Driven Credit Expansion in Brazil
Quantifying The Impact Of Current Crisis On The Convergence In EU And Post-Crisis Scenarios
Development of the Financial System in Post-Crisis Asia
The role of the International Monetary Fund in the post-crisis world
Distribution, 'financialisation' and the financial and economic crisis: Implications for post-crisis economic policies
Forbearance Patterns in the Post-Crisis Period
The current macroeconomic crisis
The post-crisis global division of labor 2009
Post-Crisis Perspectives : The Common and its Powers
The post-crisis global division of labor 2009
Modern Monetary Theory: The post-Crisis economy misunderstood?
Post-crisis perspectives : the common and its powers
Macroeconomic and Financial Consequences of the Post-Crisis Government-Driven Credit Expansion in Brazil
Quantifying The Impact Of Current Crisis On The Convergence In EU And Post-Crisis Scenarios
Development of the Financial System in Post-Crisis Asia
The role of the International Monetary Fund in the post-crisis world
Distribution, 'financialisation' and the financial and economic crisis: Implications for post-crisis economic policies
Forbearance Patterns in the Post-Crisis Period
The current macroeconomic crisis
The post-crisis global division of labor 2009
Post-Crisis Perspectives : The Common and its Powers
The post-crisis global division of labor 2009
Modern Monetary Theory: The post-Crisis economy misunderstood?
Post-crisis perspectives : the common and its powers
Macroeconomic and Financial Consequences of the Post-Crisis Government-Driven Credit Expansion in Brazil
Quantifying The Impact Of Current Crisis On The Convergence In EU And Post-Crisis Scenarios
Development of the Financial System in Post-Crisis Asia
The role of the International Monetary Fund in the post-crisis world