Can macroeconomic variables explain long term movements of stock market sector indices?: A comparison of the US and Canada
| dc.contributor.advisor | Chowdhury, Murshed | |
| dc.contributor.author | Bhuiyan, Erfan Mahmood | |
| dc.date.accessioned | 2023-03-01T16:31:25Z | |
| dc.date.available | 2023-03-01T16:31:25Z | |
| dc.date.issued | 2018 | |
| dc.date.updated | 2023-03-01T15:02:37Z | |
| dc.description.abstract | While the relationship between stock market returns and macro-economic variables has been amply examined, a gap exists in the literature regarding 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, 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, 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. | |
| dc.description.copyright | © Erfan Mahmood Bhuiyan, 2019 | |
| dc.description.note | A Report Submitted in Partial Fulfilment of the Requirements for the Degree of Master of Arts in the Graduate Academic Unit of Economics | |
| dc.format | text/xml | |
| dc.format.extent | vii, 99 pages | |
| dc.format.medium | electronic | |
| dc.identifier.uri | https://unbscholar.lib.unb.ca/handle/1882/14029 | |
| dc.language.iso | en_CA | |
| dc.publisher | University of New Brunswick | |
| dc.rights | http://purl.org/coar/access_right/c_abf2 | |
| dc.subject.discipline | Economics | |
| dc.title | Can macroeconomic variables explain long term movements of stock market sector indices?: A comparison of the US and Canada | |
| dc.type | master thesis | |
| thesis.degree.discipline | Economics | |
| thesis.degree.fullname | Master of Arts | |
| thesis.degree.grantor | University of New Brunswick | |
| thesis.degree.level | masters | |
| thesis.degree.name | M.A. |
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