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Macroeconomic Effects on Stock Jumps

Macroeconomic Effects on Stock Jumps. Allison Keane February 20, 2008. Overview. Part 1: Compiled data on macroeconomic announcements from Jun 2001 – Dec 2007 Compared announcement dates with dates of jumps for four stocks Part 2: Regression of stocks on announcements. Macro Announcements.

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Macroeconomic Effects on Stock Jumps

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  1. Macroeconomic Effects on Stock Jumps Allison Keane February 20, 2008

  2. Overview • Part 1: • Compiled data on macroeconomic announcements from Jun 2001 – Dec 2007 • Compared announcement dates with dates of jumps for four stocks • Part 2: • Regression of stocks on announcements

  3. Macro Announcements • PPI • Prices of goods at wholesale level • CPI • Price level of a fixed group of goods • Durable Goods Orders • Volume of orders and shipments of goods that will last longer than three years • Industrial Production • Measure of output of factories, mines, utilities • Retail Sales – ex. Auto • Total receipts of retail stores – consumer spending indicator

  4. Stocks • Procter & Gamble (PG), Kraft (KFT), American International Group (AIG), and Ford (F) • Calculated jumps from June 2001 – Dec 2007 • Pulled out the date corresponding to each jump

  5. Results

  6. Regression • Regress the returns with announcements at the same time • Rt = βkSk,t + εt • Determine if the coefficients are significant • Standardization of announcements • Skt = (Akt – Ekt ) / σk

  7. Expansion • Gather data for more announcements and apply to more stocks • Research microeconomic announcement • Regression for first five announcements • Different regressions

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