US Stock market performance – shifts in the S&P 500 index
| S&P 500 Index | ||||||
|---|---|---|---|---|---|---|
| Variables | (1) | (2) | (3) | (4) | (5) | (6) |
| Intercept | 274.77 (4.78) | 319.64 (10.84) | 48.52 (4.52) | 239.35 (4.72) | 244.30 (8.75) | 48.32 (12.69) |
| Gold | –0.04 (–0.29) | –0.36*** (–5.76) | 0.02 (0.18) | |||
| Crude oil | 0.07 (1.24) | –0.07 (–1.52) | –0.06 (–1.03) | |||
| CDS spread | 0.008 (1.64) | 0.006 (1.60) | –0.002 (–0.67) | 0.007 (1.35) | 0.008 (2.08) | –0.002 (–0.75) |
| 6-mo T-bill rate | 0.05 (0.61) | 0.05 (1.65) | –0.14 (–2.39) | –0.02 (–0.18) | 0.08 (1.75) | –0.09 (–1.66) |
| NBUDI | –2.04 (–4.20) | –2.04 (–8.87) | –1.72 (–3.47) | –2.08 (–6.68) | ||
| BEI | 0.35 (5.70) | 0.40 (4.92) | ||||
| FRB | 0.32 (8.35) | 0.24 (5.15) | ||||
| Fed funds rate | –0.17 (–1.66) | 0.04 (0.67) | –0.11 (–1.22) | 0.02 (0.33) | ||
| Job postings | 0.44 (16.48) | 0.31 (11.55) | 0.25 (5.41) | 0.39 (8.01) | 0.38 (10.34) | 0.28 (6.00) |
| Macro news effect | Yes | Yes | Yes | Yes | Yes | Yes |
| COVID news effect | Yes | Yes | Yes | Yes | Yes | Yes |
| Election effect | Yes | Yes | Yes | Yes | Yes | Yes |
| Observations | 118 | 118 | 118 | 118 | 118 | 118 |
| Adj R-sq | 0.9402 | 0.9666 | 0.9520 | 0.9412 | 0.9608 | 0.9520 |
| S&P 500 Index | ||||||
|---|---|---|---|---|---|---|
| Variables | (1) | (2) | (3) | (4) | (5) | (6) |
| Intercept | 274.77 (4.78) | 319.64 (10.84) | 48.52 (4.52) | 239.35 (4.72) | 244.30 (8.75) | 48.32 (12.69) |
| Gold | –0.04 (–0.29) | –0.36*** (–5.76) | 0.02 (0.18) | |||
| Crude oil | 0.07 (1.24) | –0.07 (–1.52) | –0.06 (–1.03) | |||
| CDS spread | 0.008 (1.64) | 0.006 (1.60) | –0.002 (–0.67) | 0.007 (1.35) | 0.008 (2.08) | –0.002 (–0.75) |
| 6-mo T-bill rate | 0.05 (0.61) | 0.05 (1.65) | –0.14 (–2.39) | –0.02 (–0.18) | 0.08 (1.75) | –0.09 (–1.66) |
| NBUDI | –2.04 (–4.20) | –2.04 (–8.87) | –1.72 (–3.47) | –2.08 (–6.68) | ||
| BEI | 0.35 (5.70) | 0.40 (4.92) | ||||
| FRB | 0.32 (8.35) | 0.24 (5.15) | ||||
| Fed funds rate | –0.17 (–1.66) | 0.04 (0.67) | –0.11 (–1.22) | 0.02 (0.33) | ||
| Job postings | 0.44 (16.48) | 0.31 (11.55) | 0.25 (5.41) | 0.39 (8.01) | 0.38 (10.34) | 0.28 (6.00) |
| Macro news effect | Yes | Yes | Yes | Yes | Yes | Yes |
| COVID news effect | Yes | Yes | Yes | Yes | Yes | Yes |
| Election effect | Yes | Yes | Yes | Yes | Yes | Yes |
| Observations | 118 | 118 | 118 | 118 | 118 | 118 |
| Adj | 0.9402 | 0.9666 | 0.9520 | 0.9412 | 0.9608 | 0.9520 |
Note(s): *** indicates significance at 1% level; ** indicates significance at 5% level; * indicates significance at 10% level. Variables with moderate-to-severe multicollinearity (VIF>10) are avoided in each model. The coefficient of the fixed effects is not reported. The sample period is the weekly observations from Jan’2020 to Mar’2022. T-statistics values are in parentheses
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