Econometrics Commons^™

Business Cycle Effects On Us Sectoral Stock Returns, Keran Song

FIU Electronic Theses and Dissertations

My dissertation investigated business cycle effects on US sectoral stock returns.

The first chapter examined the relationship between the business cycle and sectoral stock returns. First, I calculated constant correlation coefficients between the business cycle and sectoral stock returns. Then, I employed the DCC GARCH model to estimate time-varying correlation coefficients for each pair of the business cycle and sectoral stock returns. Finally, I ran regression of sectoral returns on dummy variables designed to capture the four stages of the business cycle. I found that though sectoral stock returns were closely related to the business cycle, they did not share …