9 Pages Posted: 29 Aug 2012 Last revised: 24 Jun 2013
Date Written: August 28, 2012
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 regression (VAR) analysis shows that excess returns on the manufacturing industry are positive in the first few months following raw materials commodity price shock. The excess returns then negatively respond to the price shock in the seventh month (after two quarters). The variance decomposition and the Wald causality tests are also estimated.
Keywords: stock returns, manufacturing, raw materials, commodities
JEL Classification: G10, G12, G14
Suggested Citation: Suggested Citation
Sum, Vichet, How Do Stock Returns on the U.S. Manufacturing Industry Respond to Raw Materials Price Shock? (August 28, 2012). Available at SSRN: https://ssrn.com/abstract=2137442 or http://dx.doi.org/10.2139/ssrn.2137442