The Dynamic Relationship between Stock Market and Macroeconomy at Sectoral Level: Evidence from Chinese and US Stock Market
As a most important component of capital market, stock market has always been regarded as the “barometer” of macroeconomy. However, many researchers have found that the stock market is not always in the lead, especially for the emerging markets, and the leading role of different sector indices is al...
Saved in:
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Wiley
2021-01-01
|
| Series: | Complexity |
| Online Access: | http://dx.doi.org/10.1155/2021/6645570 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| _version_ | 1849309290141057024 |
|---|---|
| author | Zhenni Jin Kun Guo |
| author_facet | Zhenni Jin Kun Guo |
| author_sort | Zhenni Jin |
| collection | DOAJ |
| description | As a most important component of capital market, stock market has always been regarded as the “barometer” of macroeconomy. However, many researchers have found that the stock market is not always in the lead, especially for the emerging markets, and the leading role of different sector indices is also different for the corresponding sectors. From the perspective of a comparison between mature market and emerging market at sectoral level, this paper utilizes the thermal optimal method to examine the dynamic lead-lag relationships between stock sector indices and macroeconomic variables for the USA and China. The results show that, for the US stock market, three sector indices including consumption, industry, and real estate have been leading the corresponding macroeconomic variables since 2013; for the Chinese stock market, the lead-lag relationships are different for these sectors. The real estate sector index and the industry sector index have been leading the corresponding macroeconomic variables since 2010, and the lead-lag relationship between the consumption sector index and the total retail sales is not always positive or negative, which means that the consumption sector index does not always lead the total retail sales. The empirical results confirm that the “barometer function” of immature stock market is still weak and easier to be disabled by factors such as irrational market sentiment. |
| format | Article |
| id | doaj-art-18d55f9284fd48abbeda7fcaec6bc331 |
| institution | Kabale University |
| issn | 1076-2787 1099-0526 |
| language | English |
| publishDate | 2021-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Complexity |
| spelling | doaj-art-18d55f9284fd48abbeda7fcaec6bc3312025-08-20T03:54:12ZengWileyComplexity1076-27871099-05262021-01-01202110.1155/2021/66455706645570The Dynamic Relationship between Stock Market and Macroeconomy at Sectoral Level: Evidence from Chinese and US Stock MarketZhenni Jin0Kun Guo1Sino-Danish College, University of Chinese Academy of Sciences, Beijing 100049, ChinaKey Laboratory of Big Data Mining and Knowledge Management, Chinese Academy of Sciences, Beijing 100190, ChinaAs a most important component of capital market, stock market has always been regarded as the “barometer” of macroeconomy. However, many researchers have found that the stock market is not always in the lead, especially for the emerging markets, and the leading role of different sector indices is also different for the corresponding sectors. From the perspective of a comparison between mature market and emerging market at sectoral level, this paper utilizes the thermal optimal method to examine the dynamic lead-lag relationships between stock sector indices and macroeconomic variables for the USA and China. The results show that, for the US stock market, three sector indices including consumption, industry, and real estate have been leading the corresponding macroeconomic variables since 2013; for the Chinese stock market, the lead-lag relationships are different for these sectors. The real estate sector index and the industry sector index have been leading the corresponding macroeconomic variables since 2010, and the lead-lag relationship between the consumption sector index and the total retail sales is not always positive or negative, which means that the consumption sector index does not always lead the total retail sales. The empirical results confirm that the “barometer function” of immature stock market is still weak and easier to be disabled by factors such as irrational market sentiment.http://dx.doi.org/10.1155/2021/6645570 |
| spellingShingle | Zhenni Jin Kun Guo The Dynamic Relationship between Stock Market and Macroeconomy at Sectoral Level: Evidence from Chinese and US Stock Market Complexity |
| title | The Dynamic Relationship between Stock Market and Macroeconomy at Sectoral Level: Evidence from Chinese and US Stock Market |
| title_full | The Dynamic Relationship between Stock Market and Macroeconomy at Sectoral Level: Evidence from Chinese and US Stock Market |
| title_fullStr | The Dynamic Relationship between Stock Market and Macroeconomy at Sectoral Level: Evidence from Chinese and US Stock Market |
| title_full_unstemmed | The Dynamic Relationship between Stock Market and Macroeconomy at Sectoral Level: Evidence from Chinese and US Stock Market |
| title_short | The Dynamic Relationship between Stock Market and Macroeconomy at Sectoral Level: Evidence from Chinese and US Stock Market |
| title_sort | dynamic relationship between stock market and macroeconomy at sectoral level evidence from chinese and us stock market |
| url | http://dx.doi.org/10.1155/2021/6645570 |
| work_keys_str_mv | AT zhennijin thedynamicrelationshipbetweenstockmarketandmacroeconomyatsectorallevelevidencefromchineseandusstockmarket AT kunguo thedynamicrelationshipbetweenstockmarketandmacroeconomyatsectorallevelevidencefromchineseandusstockmarket AT zhennijin dynamicrelationshipbetweenstockmarketandmacroeconomyatsectorallevelevidencefromchineseandusstockmarket AT kunguo dynamicrelationshipbetweenstockmarketandmacroeconomyatsectorallevelevidencefromchineseandusstockmarket |