RESPONSES OF US INDUSTRIES TO LOCAL ECONOMIC SHOCKS

Abstract

This study investigates the effects of changes in local macroeconomic shocks on returns on the banking, consumer staples, industrials, insurance, real estate, telecommunication, and transportation industries in the U.S. market. Using a multifactor pricing model and data from 2003:05 to 2018:05, empirical results show that the banking, consumer stables and insurance industries show more differences in their stock reactions to local macroeconomic risk factors. Real estate, telecommunication, and transportation revealed mild relationships with the macroeconomic risk factors. The industrials industry do not react significantly to risk factors at all. However, all the industries show strong reactions to local market portfolio.