1.
Finance Research Letters
; : 103073, 2022.
Article
in English
| ScienceDirect | ID: covidwho-1895050
ABSTRACT
This study investigates the connection/disconnection between the stock market and macroeconomic fundamentals in the United States from January 1960 to December 2021. Using a recent time-varying Granger causality framework, tests revealed asymmetric bidirectionnal causality. The lead-lag relationships between stock prices and key macroeconomic indicators are more prevalent during recession phases. However, the significance and intensity of the causal relationships during the Covid crisis varied greatly;which could indicate a possible disconnection.