Faculty Scholarship 1994 - Present
Linkages Between Money Supply, Interest Rates, Unemployment Rates, Stock Mutual Fund Investments and Stock Market Returns
In this paper, we use vector autoregression (VAR) analysis to study the linkages between money supply growth rates (MSGR), interest rates (INTR), unemployment rates (UNEMPR), stock mutual fund net cash flow rates (SMFCFR), and S&P 500 stock market index returns (SMIR). The impulse simulation test results reveal that interest rate changes have a strong impact on the other variables. The Granger causality test results show that the lagged values of interest rates can help predict the future values of the other variables. The findings indicate that the stock market is weak-form efficient, i.e., S&P 500 index returns follow a random walk and the past values of SMIR cannot be used to predict the future values of SMIR.