Inverted Yield Curves and Stock Market Performance: Recent Evidence

Yu, Geungu, Phillip Fuller and Dal Didia. “Inverted Yield Curves and Stock Market Performance: Recent Evidence.” Southwestern Economic Review (Spring 2008) 35 (1): 131-38.

8 Pages Posted: 1 Jun 2017

See all articles by Geungu Yu

Geungu Yu

Jackson State University

Phillip Fuller

Jackson State University

Dal O. Didia

Jackson State University

Date Written: 2008

Abstract

This study investigated the linkage between the effects of an inverted yield curve and the performance of small, mid, and big cap stocks for the period 2005-2007. The comparative performance of small, mid and big cap stocks during the period was examined. In general, there seemed no significant link between the two variables, which would support the efficient market hypothesis. However, as an anomaly, the biggest cap stocks significantly outperformed the middle and the smallest cap stocks when the yield curve was inverted. This could reflect an economic environment in which the pendulum may have swung in favor of the big cap stocks.

Keywords: Inverted yield curve, stock performance

JEL Classification: E32, E43, G11, G12

Suggested Citation

Yu, Geungu and Fuller, Phillip and Didia, Dal O., Inverted Yield Curves and Stock Market Performance: Recent Evidence (2008). Yu, Geungu, Phillip Fuller and Dal Didia. “Inverted Yield Curves and Stock Market Performance: Recent Evidence.” Southwestern Economic Review (Spring 2008) 35 (1): 131-38., Available at SSRN: https://ssrn.com/abstract=2976823

Geungu Yu (Contact Author)

Jackson State University ( email )

1400 John R. Lynch St
Jackson, MS 39217
United States

Phillip Fuller

Jackson State University ( email )

1400 John R. Lynch St
Jackson, MS 39217
United States

Dal O. Didia

Jackson State University ( email )

1400 John R. Lynch St
Jackson, MS 39217
United States

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