MA Economics Oral Defense-FR
Can macroeconomic variables explain long term movements of stock market sector indices? A comparison of the US and Canada by Erfan Mahmood Bhuiyan.
Chair: Yuri Yevdokimov
Supervisor: Murshed Chowdhury
Examining Committee: Mehmet Dalkir, Philip Leonard
While the relationship between stock market returns and macro-economic variables have been amply examined, there is a gap in the literature when it comes to the relationship between different sector indices and various macroeconomic variables. This study intends to examine how certain macroeconomic variables influence different sectors of the stock market differently in the US and Canada. Using monthly data over the period 2000 – 2018, a cointegration analysis is applied to model the relationship between real economic activity, money supply, long-term interest rate and different sector indices. Sectors that have been examined in this study include energy, financials, real estate, industrial, healthcare, consumer discretionary, and consumer staples, materials, utilities and technology. Results suggest that there is a stable long-term relationship between the macroeconomic variables used in the study and different sector indices for the US but not for Canada. However, US money supply and interest rate can explain the Canadian Stock Market. The results may be important for private investors, pension funds and governments as long-term investors often base their decision to invest in equities on the stated macroeconomic variables.
Building: Singer Hall
Room Number: 449
1 506 453 4828