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Macroeconomic Effects on
Stock Jumps
Allison Keane
Summary
• Standardize 13 macro announcements
– All released at 8:30 AM
– Skt = (Akt – Ekt ) / σk
• Overnight returns
– Opening price minus closing price from previous day
– Computed z-stats for returns
– Z = (R-Rm) / σ
• Regress returns and announcements
– Rt = βkSk,t + εt
Announcements and Stocks
•
•
•
•
•
•
•
•
•
•
•
•
PPI
CPI
Durable Goods Orders
Industrial Production
Retail Sales – ex. Auto
Average work week
Unemployment Rate
Hourly Earnings
Nonfarm Payrolls
Capacity Utilization
Business Inventories
Consumer Confidence
•
•
•
•
•
PG – Procter and Gamble
F - Ford
GM – General Motors
KFT – Kraft
AIG – American
International Group
• All overnight returns from
2002 - 2007
PG overnight returns
•Mean return = .0036
•Standard Dev. = .0037
PG Z-stats
•21 jump days
using 1%
significance
level
KFT Overnight Returns
•Mean = .0044
•Standard Dev. = .0037
KFT Z-Stats
•20 overnight jumps
Ford
• Mean = .0092
• St.dev = .0103
Ford
• 26 overnight
jumps
AIG
• Mean = .0055
• St dev = .0069
AIG
• 32 days
PPI
CPI
D
I
R
AWW
UR
HE
NP
CU
BI
CC
PG
0.000045
0.000624
0.00065
0.000615
0.000616
0.000719
-0.00038
0.000616
0.000268
0.000652
0.00048
0.000595
-0.00074
0.000617
-1.8E-05
0.000562
-2.8E-05
0.000598
-0.00037
0.000637
-0.0015
0.000653
-0.0005
0.00065
KFT
-6.3E-05
0.000937
0.00014
0.000924
0.000616
0.000719
-0.00038
0.000616
0.000101
0.000979
0.000324
0.000894
-0.00081
0.000927
0.000535
0.000844
-0.00017
0.000897
0.000621
0.000955
0.001351
0.000982
0.000743
0.000976
F
-0.00113
0.00166
0.001244
0.001637
-0.00287
0.001911
-0.00205
0.001641
0.001324
0.001735
-0.00097
0.001583
0.000664
0.001642
0.001791
0.001494
-0.00065
0.00159
-0.00102
0.00167
0.003647
0.001739
-0.00186
0.001729
GM
-0.00055
0.001536
0.002473
0.001513
-0.0029
0.001768
-0.00238
0.001517
0.001653
0.001602
0.001062
0.001464
-0.0006
0.001519
0.001094
0.001383
-0.00016
0.001471
-0.00204
0.001564
0.00079
0.001611
0.000004
0.0016
AIG
-0.00095
0.001061
-0.00094
0.001046
0.000355
0.001222
0.000204
0.001049
0.000657
0.001105
0.001129
0.001011
-0.00148
0.001049
-0.00081
0.000955
-0.0008
0.001016
-0.00013
0.001083
7.18E-05
0.001113
0.001004
0.001105
Rt = βkSk,t + εt
ppi
cpi
d
i
r
aww
ur
he
np
cu
bi
cc
pi
PG
-3.5E-05
0.00066
0.000607
-0.0003
0.000312
0.000498
-0.00074
-1.4E-05
7.17E-07
-2.7E-05
-0.00139
-0.00049
0.000381
KFT
-5.1E-05
0.00034
-0.00015
0.000668
0.000082
-0.00028
-0.00104
0.000839
0.000167
7.19E-05
0.001003
0.000734
-0.0007
GM
-0.00088
0.002334
-0.0029
-0.0017
0.001669
0.000783
-0.00085
0.00104
-1.1E-05
-0.00034
0.001557
-2.4E-05
0.001375
F
-0.0014
0.001027
-0.00291
-0.00329
0.001528
-0.00169
0.000141
0.002212
-5.3E-05
0.001853
0.001198
-0.0019
-0.00031
AIG
-0.00106
-0.00029
0.000372
0.001774
0.000812
0.001741
-0.00098
-0.00123
-0.00114
-0.0019
0.000463
0.001007
-0.00029
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