Title: How Do Stock Prices Respond to Fundamental Shocks in the Case of the United States? Evidence from NASDAQ and DJIA

36 Pages Posted: 24 Apr 2010

See all articles by Rosmy Jean Louis

Rosmy Jean Louis

Vancouver Island University

Tarek Ibrahim Eldomiaty

American University in Cairo

Date Written: 2010

Abstract

In this paper, we use both the Dow Jones and NASDAQ indices to test the robustness of inswanger’s (2004c) finding that US stock market dynamics are governed mostly by nonfundamental shocks or speculative bubbles after the 1982 debt crisis. We estimate a total of 72 SVAR models and 36 SVECM models. We determine that the findings are robust indeed and that fundamental shocks have become less and less important over the years, irrespective of which US stock market index is considered.

Keywords: DJIA, NASDAQ, Fundamental and Non-fundamental Variables, SVAR, SVECM.

Suggested Citation

Jean Louis, Rosmy and Eldomiaty, Tarek Ibrahim, Title: How Do Stock Prices Respond to Fundamental Shocks in the Case of the United States? Evidence from NASDAQ and DJIA (2010). Quarterly Review of Economics and Finance, Vol. 50, No. 2, 2010, Available at SSRN: https://ssrn.com/abstract=1589107

Rosmy Jean Louis

Vancouver Island University ( email )

900 Fifth Street
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250-722-0224 ext. 2233 (Phone)

Tarek Ibrahim Eldomiaty (Contact Author)

American University in Cairo ( email )

​AUC Avenue, P.O. Box 74 New Cairo 11835, Egypt
Management Department
Cairo, 11835
Egypt
+20226153361 (Phone)

HOME PAGE: http://https://www.aucegypt.edu/fac/tarek-ibrahim-eldomiaty

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