GDP announcements and stock prices
GDP announcements and stock prices
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DOI：
10.1016/j.jeconbus.2019.105872
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发表时间：
2020-03-01
影响因子：
3.8
通讯作者：
Ohtsuka, Yoshihiro
中科院分区：
文献类型：
--
作者：
Funashima, Yoshito;Iizuka, Nobuo;Ohtsuka, Yoshihiro
及时公布国内生产总值似乎是传达当前宏观经济状况的有用方法;然而，不准确反而可能引发金融市场动荡。本研究考察了日本股市对GDP公布的反应，并对及时性和准确性之间的权衡提供了一些见解。首先，GDP初步公布对股票价格的影响充其量是微弱的，这表明临时估计中几乎没有有用的信息。第二，股票市场对第一次修正的反应强烈，但对第二次修正的反应不佳。最后，取决于国内生产总值的支出组成部分，修订导致过度反应和反应不足，因此是股票价格的不同不稳定因素。
Timely GDP announcements seem to be a useful approach for communicating immediate macroeconomic conditions; however, inaccuracy might instead trigger financial market turmoil. This study examines the stock market response to GDP announcements in Japan and provides several insights into the trade-off between timeliness and accuracy. First, the effect of the initial GDP announcement on stock price is tenuous at best, suggesting little useful information in the provisional estimates. Second, the stock market responds keenly to the first revision, but poorly to the second revision. Finally, depending on the expenditure components of GDP, the revisions cause over- and under-reactions, and thus, are different destabilizing factors in stock prices.