US share prices and real supply and demand shocks |
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| Institution: | 1. Department of Accountancy and Finance, University of Aberdeen Business School, University of Aberdeen, Edward Wright Building, Dunbar Street, Aberdeen AB24 3QY, Scotland, UK;2. University of Western Australia, Australia |
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| Abstract: | Demand and supply sources of output movement are distinguished and the effects of shocks on stock prices are analysed. The real economy has a more pronounced effect on the stock market than vice versa and the influence from the real economy to the stock market is less important than shocks that are peculiar to the market itself. Supply and demand shocks have a greater impact on stock prices than they do on real economy variables and the sensitivity of real stock prices to supply fluctuations has waned while the sensitivity of real stock prices to demand-driven output fluctuations has increased. |
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