MACROECONOMICS AND ANAMOLIES AS DETERMINANTS OF STOCK RETURNS

Author

Samridha Jung Rana, Southern Illinois University CarbondaleFollow

Date of Award

12-1-2022

Degree Name

Master of Science

Department

Economics

First Advisor

Gilbert, Scott

Abstract

AN ABSTRACT OF THE THESIS OFSamridha Jung Rana, for the Master of Science degree in Economics, presented on November 10, 2022, at Southern Illinois University Carbondale.TITLE: MACROECONOMICS AND ANAMOLIES AS DETERMINANTS OF STOCK RETURNSMAJOR PROFESSOR: Dr. Scott GilbertAbstract: There is no general support to explain the strong correlation between the macroeconomic variables and the Standard & Poor 500 index fund returns. This thesis sheds some light on how the macroeconomic variables have impacted the monthly returns on the Standard & Poor 500 over the last decade. Firstly, we introduce the Standard & Poor 500 index and various macroeconomic factors influencing the U.S. economy over the years. Subsequently, investigating the casualty relationship between the monthly rate of returns, the consumer-producer index, the industrial producer index, Money Supply, Unemployment, inflation rate, and the exchange rate. The methodology used in this study includes a stepwise multiple regression model, Johansen cointegration test, Dickey-fuller augmented test, Phillip perron test, and the Granger Causality test. Furthermore, investigating stock market anomalies that have been verified immensely, such as the day-of-the-week Effect and month-of-the-year Effect, has also been explored to see whether those anomalies still exist in recent times.