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The Impact of Macroeconomic Factors on the German Stock Market: Evidence for the Crisis, Pre- and Post-Crisis Periods

1
Faculty of Business and Law, Frankfurt University of Applied Sciences, Nibelungenplatz 1, D-60318 Frankfurt am Main, Germany
2
Schumpeter School of Business and Economics, University of Wuppertal, Gaußstraße 20, D-42119 Wuppertal, Germany
*
Author to whom correspondence should be addressed.
Int. J. Financial Stud. 2019, 7(2), 18; https://doi.org/10.3390/ijfs7020018
Received: 31 January 2019 / Revised: 14 March 2019 / Accepted: 18 March 2019 / Published: 29 March 2019
(This article belongs to the Special Issue Macro News and Financial Variables)
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Abstract

Today we live in a post-truth and highly digitalized era characterized by a flow of (mis-) information around the world. Identifying the impact of this information on stock markets and forecasting stock returns and volatilities has become a much more difficult task, perhaps almost impossible. This paper investigates the impact of macroeconomic factors, German government bond yields, sentiment and other leading indicators on the main German stock index, namely the DAX30, for the time period from 1991 to 2018. Using a dataset on 24 factors and over a timeframe of about 27 years, we found evidence that across most subsamples, the Composite Leading Indicator (OECD), the Institute for Economic Research (ifo) Export Expectations index, the ifo Export Climate index, exports, the Consumer Price Index CPI, as well as 3 y German government bonds yields show delayed impacts on stock returns. We further found that the delayed impact of the constituents of the monetary aggregate M2 on stock returns changed direction between the crisis and post-crisis periods. Overall, the results illustrate that in the crisis period a larger number of factors and economic indicators had significant impacts on the stock returns compared to the pre- and post-crisis periods. This implies that in the post-crisis period a macro-driven market prevails. View Full-Text
Keywords: financial markets & the macroeconomy; financial econometrics; monetary aggregates; information and market efficiency; financial crises financial markets & the macroeconomy; financial econometrics; monetary aggregates; information and market efficiency; financial crises
This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited (CC BY 4.0).
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Celebi, K.; Hönig, M. The Impact of Macroeconomic Factors on the German Stock Market: Evidence for the Crisis, Pre- and Post-Crisis Periods. Int. J. Financial Stud. 2019, 7, 18.

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Int. J. Financial Stud. EISSN 2227-7072 Published by MDPI AG, Basel, Switzerland RSS E-Mail Table of Contents Alert
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