Please use this identifier to cite or link to this item: https://cuir.car.chula.ac.th/handle/123456789/84673
Title: How flash manufacturing PMI is affecting the U.S. stock market. An empirical study
Authors: Thurein Htet Myat
Advisors: Pornanong Budsaratragoon
Other author: Chulalongkorn University. Faculty of commerce and accountancy
Issue Date: 2022
Publisher: Chulalongkorn University
Abstract: This paper presents a comprehensive analysis of the relationship between the US Flash Manufacturing PMI news releases, returns, and volatilities of Russell 1000 and 2000 indexes. Using an autoregressive (AR) and generalized autoregressive conditional heteroskedasticity (GARCH) model, the study examines data from January 2015 to November 2022, encompassing both pre-pandemic, pandemic, and post-pandemic periods. The statistical analysis indicates that these news releases do not significantly influence stock returns, supporting the efficient market hypothesis. Various factors, including measurement errors and the unique circumstances of the Covid-19 pandemic, likely overshadowed the impact of PMI news releases. Additionally, the analysis finds no significant evidence to support the hypothesis that PMI news releases have an amplified impact on stock market volatilities during the pandemic compared to other periods. The study suggests considering other economic indicators, applying advanced time-series analysis techniques, conducting sector-specific analysis, exploring different stock markets, and extending the analysis over longer periods for a more comprehensive understanding. This research contributes to the understanding of the complex dynamics between economic indicators and stock market performance.​
Description: Independent Study (M.Sc.)--Chulalongkorn University, 2022
Degree Name: Master of Science
Degree Level: Master's Degree
Degree Discipline: Finance
URI: https://cuir.car.chula.ac.th/handle/123456789/84673
Type: Independent Study
Appears in Collections:Acctn - Independent Studies

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