Open Access Journal Article

Are Industry Returns Informative about Other Industries and Fundamentals?

by Nikiforos T. Laopodis a,*
a
Department of Finance, The American College of Greece, Athens 15342, Greece
*
Author to whom correspondence should be addressed.
JEA  2024, 87; https://doi.org/10.58567/jea04010001
Received: 16 January 2024 / Accepted: 29 February 2024 / Published Online: 4 March 2024
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Abstract

This paper examines the information content of selected US industries focusing on the dynamic linkages among these industries, the stock market and a number of fundamental variables. The period of investigation spans from January 1960 to December 2021. The empirical strategy includes several methodologies such as regressions, vector autoregressions and volatility models. The idea is to investigate the dynamic linkages among these series at both the mean and the volatility levels. The results point to significant industry returns’ explanatory power for many predictors of economic activity including the stock market. Further, time-varying analysis of the linkages among the industries and the stock market’s returns reveal that certain industries such as Oil and Financials provide consistent information leadership over other industries and across decades. Further, upon assessing the industry–market return volatility spillovers, it was found that a market risk–return profile may not always be economically significant and timely for investors. Finally, crises, financial or otherwise, affect industries but to differing degrees.

Keywords: Industry returns; fundamentals; information content; VAR; volatility;
Copyright: © 2024 by Laopodis. This is an open-access article distributed under the terms of the Creative Commons Attribution License (CC BY) (Creative Commons Attribution 4.0 International License). The use, distribution or reproduction in other forums is permitted, provided the original author(s) or licensor are credited and that the original publication in this journal is cited, in accordance with accepted academic practice. No use, distribution or reproduction is permitted which does not comply with these terms.

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ACS Style
Laopodis, N. T. Are Industry Returns Informative about Other Industries and Fundamentals?. Journal of Economic Analysis, 2024, 87. https://doi.org/10.58567/jea04010001
AMA Style
Laopodis N T. Are Industry Returns Informative about Other Industries and Fundamentals?. Journal of Economic Analysis; 2024:87. https://doi.org/10.58567/jea04010001
Chicago/Turabian Style
Laopodis, Nikiforos T. 2024. "Are Industry Returns Informative about Other Industries and Fundamentals?" Journal of Economic Analysis:87. https://doi.org/10.58567/jea04010001
APA style
Laopodis, N. T. (2024). Are Industry Returns Informative about Other Industries and Fundamentals?. Journal of Economic Analysis, 87. https://doi.org/10.58567/jea04010001

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