This paper provides empirical evidence of how financial stress mediates the effect of the demand side's confidence on the supply side's confidence in the United States. Using monthly data from 1994:M2 to 2012:M5, the time-series regression analyses show that changes in the demand side's...

This study investigates how equity trading activity dynamically responds to credit spread shock. Based on the analysis of monthly data from 1925M1 to 2013M7, equity trading activity, using share volume turnover as a proxy, significantly drops following the shock to credit spread. The results...

This study examines the impulse response functions and causality test of stock market returns and market-wide liquidity as measured by share turnover (the total number of shares traded over a period divided by the average number of shares outstanding for the period). The analyses of the monthly...

This paper analyses how stock returns on the U.S. manufacturing industry respond to raw materials price shock. Using monthly excess return data of the U.S. manufacturing industry and the percentage change of the U.S. raw materials price commodity index from 1960:M2 to 2012:M12, the vector auto...

Based on the theoretical framework of financial amplification, this study is set up to investigate the dynamic effects of financial stress on the performance of the U.S. real estate market proxied by Real Estate Investment Trust (REIT) returns in the United States using vector autoregressive...

This paper empirically investigates how business and consumer confidence responds to monetary policy shock. Based on the vector autoregressive (VAR) analysis of the monthly changes in business and consumer confidence and the monthly Federal fund interest rates, the results show that both the...