Dow Jones Index is Driven Periodically by the Unemployment Rate During Economic Crisis and Non-economic Crisis Periods

摘要

Previous researchers have made some causality hypotheses: the change of stock index causing volatility of economic data or short-run impact of anticipated unemployment rate on stock price. However, they have not reached a consensus. In this article we apply New Causality (NC) method to investigate the causality between Dow Jones Index and the unemployment rate. The results demonstrate stock market is periodically driven by the unemployment rate during all periods, and the causal direction during one ECP and on-going NECP together is uncertain because there may exist two different causal mechanisms in two periods. In this point of view, we conclude that anticipated unemployment rate change results in Dow Jones Index fluctuation in each period. Our conclusion is consistent with the phenomenon that Dow Jones Index was pushed to historical high level after Donald Trump came into power.