21st Annual Student Research Conference
Macroeconomic Factor Analysis for the Stock Price
Ying Strow♦
Dr. Andrew C. Mun, Faculty Mentor
The objective of the research is to look into the significant economic indicators and evaluate in details the influence of each indicator has on stock prices. This project will rely upon the theoretical basis of stock market theory as well as upon established empirical evidence concerning investors’ behavior to construct an aggregate function for stock market. The research employs the ordinary least squares method of analysis to evaluate a log-log functional form of stock performance specified with several potentially significant explanatory variables, including the federal fund rate, consumer price index, retail gasoline price, nominal GDP, money supply M1 and M2 and unemployment rate. The research then employs monthly (where available) time series data from the census bureau for each of the variables and evaluates the model. In doing so, we hope to gain insight into the nature of stock market adjustments and to the responsiveness of stock market performance to changes in each of the explanatory variables.
Keywords: macroeconomic, factor, analysis, stock, price
Topic(s):Business Administration
Presentation Type: Oral Paper
Session: 31-4
Location: VH 1232
Time: 2:00