Analyzing the Impact of Macroeconomic Indicators on Stock Market Performance in the United States, United Kingdom, and Japan
分析宏观经济指标对美国、英国和日本股市表现的影响

Introduction
介绍

Over the last few decades, the critical effects of macroeconomic indicators on stock market performance have become increasingly interesting to investors and researchers (Fromentin, 2022), espectially in economically vital markets such as the United States, United Kingdom, and Japan. These economies are critical not only for their size but also for their substantial importance in global economic dynamics. They provide a very rich setting for the detailed study of how complex interactions between diverse economic variables could affect market performance under differing economic environments. The possibility of predicting market movements based on macroeconomic indicators can enhance investment strategies and economic policymaking, making the study of these relationships crucial for economic stability and growth (Olokoyo et al., 2020). Special emphasis on these key markets in the study will bring out unique insights for broader economic theories and practical investment approaches globally.
在过去的几十年里，宏观经济指标对股市表现的关键影响越来越受到投资者和研究人员的关注（Fromentin，2022 年），尤其是在美国、英国和日本等经济重要市场。这些经济体不仅因其规模而至关重要，而且因其在全球经济动态中的重要性而至关重要。它们为详细研究不同经济变量之间的复杂相互作用如何影响不同经济环境下的市场表现提供了非常丰富的环境。根据宏观经济指标预测市场走势的可能性可以加强投资策略和经济政策制定，这使得对这些关系的研究对经济稳定和增长至关重要（Olokoyo et al.， 2020）。本研究特别强调这些关键市场，将为更广泛的经济理论和全球实际投资方法带来独特的见解。

Traditionally, stock markets have been seen as a reflection of underlying economic health and trends-a sort of barometer indicating the state of national economies. The so-called Efficient Market Hypothesis, advanced by Eugene F. Fama in the 1970s, states that the prices of stocks in an efficient market always reflect new information immediately and, in turn, at any point in time summarize everything known about changes in macroeconomic conditions and policy shifts(Woo et al., 2020). In practice, however, such theoretical perfection in the efficiency of markets tells a somewhat different story. Precisely, this is the complexity that arises, particularly when assessing situations surrounding global financial crises and dynamic changes in international trade and investment environments that keep altering and affecting market perception and response(Oricchio, 2012). These are practical complexities that quite often dent assumptions of market efficiency and therefore evoke high debates in both academic and practical senses regarding the veracity and applicability of EMH in stock market mover predictions.
传统上，股票市场被视为潜在经济健康状况和趋势的反映，是表明国民经济状况的晴雨表。Eugene F. Fama 在 1970 年代提出的所谓有效市场假说指出，有效市场中的股票价格总是立即反映新信息，反过来，在任何时间点总结了关于宏观经济条件变化和政策转变的所有已知信息（Woo et al.， 2020）。然而，在实践中，这种市场效率的理论完美讲述了一个有点不同的故事。准确地说，这就是出现的复杂性，尤其是在评估围绕全球金融危机的情况以及国际贸易和投资环境的动态变化时，这些变化不断改变和影响市场认知和反应（Oricchio，2012）。这些实际复杂性往往会削弱市场效率的假设，因此在学术和实践意义上引发了关于 EMH 在股市推动者预测中的真实性和适用性的激烈辩论。

Linkages between stock markets and economic policy in today's globalized world have become more pronounced and intricate. This research occurs against a backdrop in which increased integration of global financial markets has, along with active participation by institutional investors, managed to increasingly synchronize fluctuations of stock markets with key macroeconomic variables such as inflation rates, unemployment figures, and government bond yields (Evgenidis and Malliaris, 2022). These relations can be seen at the core of explanations of severe turmoil, such as that experienced in the 2008 financial crisis, and current adjustments happening to many world economies due to changes in monetary policies and geopolitical tensions. The present study will seek to dissect the interconnections to offer insights that could help governments and investors deliberate on more resilient financial policies and investment strategies. Understanding these dynamics is very important to mitigate possible adverse impacts on national and global economies; therefore, this research is so crucial under the present economic conditions.
在当今全球化的世界中，股票市场和经济政策之间的联系变得更加明显和复杂。这项研究发生在全球金融市场日益一体化的背景下，加上机构投资者的积极参与，成功地将股市的波动与通货膨胀率、失业率和政府债券收益率等关键宏观经济变量日益同步（Evgenidis 和 Malliaris，2022 年）。这些关系可以看作是解释严重动荡的核心，例如 2008 年金融危机所经历的动荡，以及由于货币政策变化和地缘政治紧张局势而当前世界许多经济体发生的调整。本研究将试图剖析两者之间的相互联系，以提供见解，帮助政府和投资者考虑更具韧性的金融政策和投资策略。了解这些动态对于减轻对国家和全球经济可能产生的不利影响非常重要;因此，在当前的经济条件下，这项研究非常重要。

Consumer sentiment is the barometer through which the general public perceives economic expectations. Changes in sentiment can appreciably affect consumer behavior, spending, and investment decisions simply because stock market dynamics reflect spending and investment decisions(Ferrer, Salaber and Zalewska, 2014). In the case of high consumer confidence, discretionary spending increases, while bullish trends in stock markets refer to people's optimism in the economy and therefore a good time to invest. Contrarily, a decrease in consumer sentiment begets conservative spending and investment behavior that equates into bear trends within the markets. It is this inverse relation which aptly underlines the crucial role consumer sentiment can play in being able to predict market trends(Tiwari et al., 2022). Understanding these changes in sentiment is of supreme importance to investors and policymakers alike, as they are valuable indicators of likely changes in market trends and the general economic atmosphere, making the investor capable of making more informed decisions in order to capitalize on or hedge against up-and-coming changes in the economy.
消费者信心是公众感知经济预期的晴雨表。情绪的变化可以明显影响消费者行为、支出和投资决策，这仅仅是因为股市动态反映了支出和投资决策（Ferrer、Salaber 和 Zalewska，2014 年）。在消费者信心高的情况下，可自由支配的支出会增加，而股市的看涨趋势是指人们对经济持乐观态度，因此是投资的好时机。相反，消费者信心的下降会导致保守的支出和投资行为，这相当于市场内的熊市趋势。正是这种反比关系恰当地强调了消费者情绪在预测市场趋势方面可以发挥的关键作用（Tiwari et al.， 2022）。了解这些情绪变化对投资者和政策制定者来说都至关重要，因为它们是市场趋势和整体经济氛围可能变化的宝贵指标，使投资者能够做出更明智的决策，以利用或对冲即将到来的经济变化。

Economic policy uncertainty (EPU) has a major impact on global financial markets, casting a shadow on investment landscapes and market stability (Al-Thaqeb and Algharabali, 2019). Higher degrees of uncertainty are often caused by ambiguous or unexpected fiscal, monetary, or regulatory policies. This may have a negative impact on investor confidence and stifle excitement for stock investments (Al-Thaqeb and Algharabali, 2019). Due to this uncertainty, investors are more likely to take a cautious attitude and would rather protect their assets than take a chance on losing money on riskier investments. Such actions have the potential to significantly alter market prices and impair the financial markets' general efficiency.
经济政策不确定性 （EPU） 对全球金融市场产生重大影响，给投资格局和市场稳定性蒙上阴影（Al-Thaqeb 和 Algharabali，2019 年）。更高程度的不确定性通常是由模棱两可或出乎意料的财政、货币或监管政策引起的。这可能会对投资者的信心产生负面影响，并扼杀对股票投资的热情（Al-Thaqeb 和 Algharabali，2019 年）。由于这种不确定性，投资者更有可能采取谨慎的态度，宁愿保护自己的资产，也不愿冒险在风险较高的投资上亏损。此类行动有可能显著改变市场价格并损害金融市场的整体效率。

Industry production is a meaningful gauge of economic performance and health, as such production characterizes the industrial sector. A change in the level of production may be an indication of the larger shift in the economy, which in turn may affect many market sectors and basically the economic performance as a whole. As Bhuiyan and Chowdhury (2019) established, it should be able to determine fluctuations in industry production so that projecting the future economic condition can be made with projections of the movements of the stock market. The variable helps create an understanding of employments, consumer spending, and economic growth and hence is a vital variable for making strategic investment and economic policy decisions.
工业生产是衡量经济表现和健康状况的有意义的指标，因为工业部门的生产是这样的。生产水平的变化可能表明经济发生了更大的变化，这反过来又可能影响许多市场部门，基本上影响整个经济表现。正如 Bhuiyan 和 Chowdhury （2019） 所确定的那样，它应该能够确定工业生产的波动，以便通过预测股市的走势来预测未来的经济状况。该变量有助于建立对就业、消费者支出和经济增长的理解，因此是做出战略投资和经济政策决策的重要变量。

This paper examines the influence of key macroeconomic indicators—such as inflation, unemployment rates, government bond yields, consumer sentiment, economic policy uncertainty, and industry production—on stock market returns in the United States, United Kingdom, and Japan. The study will explore both the contemporaneous and lagged effects of these indicators to understand how they affect market performance over time. This research aims to enhance our understanding of stock market behavior during economic fluctuations and provide valuable insights for investors and policymakers to consider.
本文研究了关键宏观经济指标（如通货膨胀、失业率、政府债券收益率、消费者信心、经济政策不确定性和工业生产）对美国、英国和日本股市回报的影响。该研究将探讨这些指标的同期和滞后效应，以了解它们如何随着时间的推移影响市场表现。本研究旨在增强我们对经济波动期间股市行为的理解，并为投资者和政策制定者提供有价值的见解以供考虑。

Research Questions:
研究问题：

What immediate and lagged impacts do inflation, unemployment, bond yields, consumer sentiment, economic policy uncertainty, and industry production have on stock market returns in the analyzed countries?
通货膨胀、失业率、债券收益率、消费者信心、经济政策不确定性和工业生产对所分析国家的股市回报有哪些直接和滞后影响？

How does economic policy uncertainty affect stock market volatility in the short and long term?
经济政策的不确定性如何影响短期和长期的股市波动？

What role do global financial shocks and geopolitical developments play in influencing the relationship between macroeconomic indicators and stock market performance?
全球金融冲击和地缘政治发展在影响宏观经济指标与股市表现之间的关系方面发挥什么作用？

The basis for the selection of the United States, the United Kingdom, and Japan as focal points is due to their vital roles in the global financial system. These countries host the current world's giant and influential stock markets: the New York Stock Exchange from America, London Stock Exchange in the United Kingdom, and Tokyo Stock Exchange from Japan, which greatly influence the global economic trend. Further, the different economic policies in pursuit and levels of market maturity across those countries ensure a strong structure for carrying out analysis with regard to differences in macroeconomic indicators' effects on the quoted companies' stock market performance. The economies are not only large and developed but also distinctly impacted by domestic and international policy shifts, ideal for comparative analysis. This allows for a complete investigation into how similar economic variables can affect stock markets differently according to regional conditions and policy environments, which is remarkably important for the integrity of global finance.
选择美国、英国和日本作为焦点的基础是因为它们在全球金融体系中发挥着至关重要的作用。这些国家拥有当今世界巨大而有影响力的股票市场：美国的纽约证券交易所、英国的伦敦证券交易所和日本的东京证券交易所，它们极大地影响了全球经济趋势。此外，这些国家追求的不同经济政策和市场成熟度水平确保了对宏观经济指标差异对上市公司股票市场表现的影响进行分析的强大结构。这些经济体不仅规模庞大且发达，而且受到国内和国际政策转变的明显影响，非常适合进行比较分析。这允许全面研究类似的经济变量如何根据地区条件和政策环境对股市产生不同的影响，这对于全球金融的完整性非常重要。

This study adds to the existing literature by conducting an in-depth analysis of the impact of macroeconomic indicators on stock market returns for the United States, the United Kingdom, and Japan. This will be done to test the efficiency of the EMH and also the Capital Asset Pricing Model across different economic regimes. Real-time effectiveness would be measured regarding how the dynamics of economic variables were translating into market performance in conditions of economic policy uncertainty and market volatility. The present paper therefore embarks on a detailed empirical examination of the extent to which one may expect applications of EMH and CAPM in explaining and predicting market behaviors of these major economies. It looks into lagged and immediate influences associated with economic indicators such as inflation, unemployment, and consumer sentiment, further elaborating on the predictive performance of such indicators and their implication for investment strategies.
本研究通过深入分析宏观经济指标对美国、英国和日本股市回报的影响，对现有文献进行了补充。这样做是为了测试 EMH 以及不同经济制度下的资本资产定价模型的效率。将衡量在经济政策不确定性和市场波动的情况下经济变量的动态如何转化为市场表现的实时有效性。因此，本文开始对 EMH 和 CAPM 在解释和预测这些主要经济体的市场行为方面的应用进行详细的实证检验。它研究了与通货膨胀、失业和消费者信心等经济指标相关的滞后和直接影响，进一步阐述了这些指标的预测表现及其对投资策略的影响。

Furthermore, the findings of this study can help policymakers and financial analysts through its findings, which would pinpoint the critical economic factors driving market fluctuations in order to assist in the formulation of more resilient economic policy and investment strategies. It also points to the need for adaptive financial models that could better accommodate the sophistication of global financial markets, to which the current theoretical finance makes a contribution by some suggestions for modification to the traditional models, such as EMH and CAPM, allowing for their more useful and accurate usage in stock market predictions.
此外， 这项研究的结果可以帮助政策制定者和金融分析师通过其发现，这将确定驱动市场波动的关键经济因素，以协助制定更具弹性的经济政策和投资战略。它还指出需要能够更好地适应全球金融市场复杂性的自适应金融模型，目前的理论金融通过对传统模型（如 EMH 和 CAPM）的一些修改建议做出了贡献，允许它们在股票市场预测中更有用和准确。

The structure of the dissertation is to systematically investigate how macroeconomic indices affect the performance of the stock markets in Japan, the UK, and the US. The study is placed within the context of previous academic works in the Literature Review part before going into depth about the statistical models that were used in the Methodology section. The results of these models are shown in the Results section, backed up by tables and figures. The ramifications of these results are discussed in the Discussion that follows, especially as they relate to theories like the CAPM and the EMH. A summary and recommendations section that offers a synthesis of the findings and suggests future research paths comes at the conclusion of the study. Every segment expands upon the one before it, offering a thorough examination of the examined economic issues.
论文的结构是系统地研究宏观经济指数如何影响日本、英国和美国股市的表现。该研究被置于文献综述部分以前学术著作的背景下，然后深入探讨方法论部分使用的统计模型。这些模型的结果显示在 Results 部分，并有表格和数字支持。这些结果的后果将在下面的讨论中讨论，特别是当它们与 CAPM 和 EMH 等理论相关时。总结和建议部分提供了研究结果的综合并建议未来的研究路径，位于研究结论处。每个部分都在前一个部分的基础上进行了扩展，对所研究的经济问题进行了彻底的考察。

Literature Review
文献综述

Methodology
方法论

This study employs a quantitative research design and multiple regression models to examine the influence of various macroeconomic indicators on stock market returns across the United States, the United Kingdom, and Japan. The analysis focuses on broader categories of macroeconomic variables that embody distinct facets of economic health and policy. These categories include economic activity indicators, which gauge general economic output and production levels; monetary policy indicators, reflecting central bank actions and changes in interest rates; consumer and business sentiment, measuring the confidence levels among consumers and businesses; and financial market uncertainty, capturing the market's response to economic unpredictability and policy changes. The study will systematically investigate the relationship between these macroeconomic variables and national stock index performance using ordinary least squares regression, providing insights into how economic fluctuations impact market dynamics and offering a basis for predicting future market movements based on established economic trends. Additionally, the interaction relationship between stock markets will be examined within the Vector Autoregression (VAR)VAR Model framework.
本研究采用定量研究设计和多元回归模型来检验各种宏观经济指标对美国、英国和日本股市回报的影响。该分析侧重于更广泛的宏观经济变量类别，这些变量体现了经济健康和政策的不同方面。这些类别包括经济活动指标，衡量一般经济产出和生产水平;货币政策指标，反映央行行动和利率变化;消费者和企业情绪，衡量消费者和企业的信心水平;以及金融市场的不确定性，捕捉市场对经济不可预测性和政策变化的反应。该研究将使用普通最小二乘回归系统地调查这些宏观经济变量与国家股票指数表现之间的关系，提供关于经济波动如何影响市场动态的见解，并为根据既定经济趋势预测未来市场走势提供基础。此外，股票市场之间的交互关系将在向量自回归 （VAR）VAR 模型框架内进行研究。

3.1. Variable Selection
3.1. 变量选择

The choices of the macroeconomic variables lean on both theoretical underpinning and empirical evidence in this study to capture those major influential factors for stock market return in the United States, the United Kingdom, and Japan. The selected variables reflect different aspects of economic health, monetary policy, and market sentiment, representing some of the most widely recognized as significant drivers for financial market performance.
宏观经济变量的选择依赖于本研究中的理论基础和实证证据，以捕捉美国、英国和日本股市回报的主要影响因素。所选变量反映了经济健康状况、货币政策和市场情绪的不同方面，代表了一些最广泛公认的金融市场表现的重要驱动因素。

Economic Activity Indicators:
经济活动指标：

Industrial Production Index (IND_PROD): This measures the output in the industrial sector. It is a very important indicator of aggregate economic activity. It is a measure of the level of production and hence will be a very important determinant of corporate earnings, and in turn, stock market performance.
工业生产指数 （IND_PROD）：衡量工业部门的产出。它是衡量总经济活动的一个非常重要的指标。它是衡量生产水平的指标，因此将成为公司收益的非常重要的决定因素，进而决定股市表现。

Monetary Policy Indicators:
货币政策指标：

Inflation Rate (INF): It is a major macroeconomic variable that touches on consumers' purchasing power and businesses' cost structures. High inflation rates erode profitability and have a depressing effect on stock prices, and moderate inflation is often taken to be a symptom of growing businesses.
通货膨胀率 （INF）：这是一个主要的宏观经济变量，涉及消费者的购买力和企业的成本结构。高通胀率会侵蚀盈利能力并对股价产生抑制作用，而适度的通胀通常被视为企业增长的症状。

10-Year Government Bond Yield (BOND_10Y): This variable is a proxy for long-term interest rates and, consequently, for investor confidence. Bond yields reflect the borrowing cost and expected return of government debt, and they have an effect on investment decisions and stock market valuations.
10 年期政府债券收益率 （BOND_10Y）：该变量代表长期利率，因此也代表投资者信心。债券收益率反映了政府债务的借款成本和预期回报，它们对投资决策和股票市场估值有影响。

Labor Market Conditions:
劳动力市场状况：

Unemployment Rate (UNEMP): The unemployment rate provides insights into the health of the labor market. High unemployment can signal economic distress, leading to lower consumer spending and reduced corporate profits, which negatively impact stock market returns.
失业率 （UNEMP）：失业率提供了对劳动力市场健康状况的见解。高失业率可能预示着经济困境，导致消费者支出下降和企业利润下降，从而对股市回报产生负面影响。

Consumer and Business Sentiment:
消费者和企业信心：

Consumer Sentiment Index (CONS_SENT): This index defines the overall confidence that consumers have in the economy. If the consumers had high confidence, this would presumably translate to spending and, therefore, increased corporate revenues and stock prices. If confidence is low, it can be a sign of economic uncertainty whereby market optimism is reduced.
消费者信心指数 （CONS_SENT）：该指数定义了消费者对经济的整体信心。如果消费者有很高的信心，这大概会转化为支出，从而增加公司收入和股票价格。如果信心低，则可能是经济不确定性的信号，从而降低市场的乐观情绪。

 Financial Market Uncertainty:
金融市场不确定性：

Economic Policy Uncertainty Index (ECON_UNC): It is a metric representative of the extent of uncertainty related to economic policies, fiscal policies, monetary policies, etc. The high level of economic uncertainty creates turmoil in the market because investors are wary of unpredictable economic regimes that might affect returns in the stock market adversely.
经济政策不确定性指数 （ECON_UNC）：它是代表与经济政策、财政政策、货币政策等相关的不确定性程度的指标。高度的经济不确定性会在市场造成动荡，因为投资者对可能不可预测的经济制度持谨慎态度，这些制度可能会对股市的回报产生不利影响。

3.2. Models
3.2.模型

Regression Models
回归模型

The regression models are designed to study the effect of general macroeconomic indicators on stock market indices of the United States, the United Kingdom, and Japan. In this regard, in each model, variables which might be scorned for having the most predictive power over the stock market fluctuations in respective economic settings have been incorporated. All the models are specified in such a way that they can allow both immediate and also the delayed responses of stock markets due to changes in economic conditions by incorporating lagged variables. In particular, a formal specification for each model is expressed as follows:
回归模型旨在研究一般宏观经济指标对美国、英国和日本股市指数的影响。在这方面，在每个模型中，都纳入了可能因为对各自经济环境中的股市波动具有最强预测能力而被嘲笑的变量。所有模型的指定方式都是这样，它们可以通过合并滞后变量来允许股票市场由于经济条件的变化而立即和延迟响应。具体而言，每个模型的正式规范表示如下：

Model 1 (United States):
型号 1（美国）：

Model 2 (United Kingdom):
型号 2（英国）：

Model 3 (Japan):
型号 3 （日本）：

Where
哪里

- Stock Market Index Return: This variable captures the return of the stock market index for time t and reflects the general performance of the market.
- 股票市场指数回报：此变量捕获时间 t 的股票市场指数回报，并反映市场的总体表现。
- Current Inflation Rate: This reflects the inflation rate recorded at time t, representing the general increase in prices prevailing within an economy.
- 当前通货膨胀率：这反映了时间 t 记录的通货膨胀率，代表一个经济体内普遍价格的普遍上涨。
- Lagged Inflation Rate: This is the inflation rate obtained during the t − 1 period, showing past trends in inflation.
- 滞后通货膨胀率：这是在 t − 1 期间获得的通货膨胀率，显示了过去的通货膨胀趋势。
- Current Unemployment Rate: The unemployment rate at time t, measuring the number of people in the labor force who are unemployed and seeking employment as a percentage.
- 当前失业率：时间 t 的失业率，衡量劳动力中失业和求职的人数百分比。
- Lagged Unemployment Rate: The unemployment rate from the previous period, t – 1, along with its connection to past conditions in the labor market.
- 滞后失业率：上一时期的失业率 t – 1，及其与劳动力市场过去状况的联系。

- Current 10-Year Bond Yield: The 10-year government bond yield at time t, useful for signaling long-term interest rates and the economic outlook.
- 当前 10 年期债券收益率：时间 t 的 10 年期政府债券收益率，可用于表明长期利率和经济前景。
- Lagged 10-Year Bond Yield: The yield on 10-year government bonds at time , indicating past perceptions of economic conditions.
- 滞后的 10 年期债券收益率：当时 10 年期政府债券的收益率，表明过去对经济状况的看法。
- Current Consumer Sentiment Index: A measure of general consumer optimism at time t that reflects the economic optimism or pessimism of consumers.
- 当前消费者信心指数：衡量消费者在时间 t 的总体乐观情绪的指标，反映了消费者的经济乐观情绪或悲观情绪。
- Lagged Consumer Sentiment Index: The consumer confidence level measured at time , reflecting past consumer attitudes toward the economy.
- 滞后消费者信心指数： 当时衡量的 消费者信心水平，反映了过去消费者对经济的态度。
- Current Economic Policy Uncertainty: The measurement of the degree of economic policy uncertainty at time t. This indicates the level to which market perception exists regarding economic stability and policy predictability.
- 当前经济政策不确定性：对时间 t 时经济政策不确定性程度的测量。这表明市场对经济稳定性和政策可预测性的认知水平。
- Lagged Economic Policy Uncertainty: An index measuring the output of the industrial sector at time t, indicative of economic activity and the level of production.
- 滞后经济政策不确定性：衡量时间 t 时工业部门产出的指数，表明经济活动和生产水平。

- Current Industry Production Index: An index measuring the output of the industrial sector at time , indicative of economic activity and production levels.
a-immersive-translate-walked=“f2049051-a537-4e5b-ab12-81a0ccd848b8”> - 当前工业生产指数：衡量时间 t 时工业部门产出的指数，表明经济活动和生产水平。
- Lagged Industry Production Index: The industrial output measured at time , providing insight into past production trends and economic activity.
- 滞后工业生产指数： 在 时间 衡量的工业产出，提供对过去生产趋势和经济活动的洞察。

Vector Autoregression (VAR) Model
向量自回归 （VAR） 模型

The VAR model is utilized in analyzing the dynamic interrelationships among international stock market indices. Such a statistical methodology is considered perfect for examining multivariate time series data, where each of the variables should influence and might be influenced by its own and other lagged values in the system. The model of vector autoregression maps the linear interdependencies of several time series and gives a general view of how to forecast and understand the system's dynamics.
VAR 模型用于分析国际股票市场指数之间的动态相互关系。这种统计方法被认为非常适合检查多变量时间序列数据，其中每个变量都应该影响并可能受系统中自身和其他滞后值的影响。向量自回归模型映射了多个时间序列的线性相互依赖关系，并给出了如何预测和理解系统动态的一般视图。

The mathematical representation of the VAR model in this study is as follows:
本研究中 VAR 模型的数学表示如下：

Where:
哪里：

is the vector of endogenous variables (stock returns of S&P 500, FTSE 100, and Nikkei 225) at time ,
a-immersive-translate-walked=“f2049051-a537-4e5b-ab12-81a0ccd848b8”> 是时间 t 时内生变量（标准普尔 500、富时 100 和日经 225 的股票回报率）的向量，

is a vector of constants (intercepts),
是常量（截距）的向量，

represents the matrices of coefficients for lag (where ranges from 1 to , the maximum number of lags),
p mmers ve-translate-walked=“f2049051-a537-4e5b-ab12-81a0ccd848b8”>表示滞后 i 的系数矩阵 （其中 i 范围从 1 到 p，最大滞后数），

is the vector of error terms, assumed to be white noise.
是误差项的向量，假定为白噪声。

Impulse response analysis within the VAR framework quantifies the effect of a standard deviation shock to one of the variables (an 'impulse') on the future values of all variables in the system (the 'responses'). This method traces the effect of a shock to one of the endogenous variables on the values of each variable in the VAR system over a specified number of periods. The analysis is conducted through orthogonalized impulse responses, ensuring that shocks across different variables are uncorrelated, thus isolating the impact of each shock.
VAR 框架内的脉冲响应分析量化了标准差冲击对其中一个变量（“脉冲”）对系统中所有变量的未来值（“响应”）的影响。该方法追踪对其中一个内生变量的冲击在指定周期内对 VAR 系统中每个变量值的影响。分析是通过正交的脉冲响应进行的，确保不同变量的冲击不相关，从而隔离每次冲击的影响。

3.2. Data Collection and Sources
3.2. 数据收集和来源

The dataset for this study spans from January 1, 1998, to December 2, 2923, focusing on monthly data points. This period is selected due to the consistent availability and reliability of the economic indicators from 1998 onwards. Earlier records are often inconsistent or incomplete, potentially compromising the robustness of the analysis. The chosen economic data encompasses key indicators from the United States, the United Kingdom, and Japan, each selected to provide insights into different aspects of economic health and policy impacts on the stock market indices.
本研究的数据集从 1998 年 1 月 1 日到 2923 年 12 月 2 日，侧重于每月数据点。之所以选择这个时期，是因为 1998 年以来经济指标始终如一的可用性和可靠性。早期的记录通常不一致或不完整，这可能会损害分析的稳健性。选定的经济数据包括来自美国、英国和日本的关键指标，每个指标都用于提供对经济健康状况和政策对股市指数影响的不同方面的见解。

The dataset for the United States includes several key economic indicators essential for analyzing the stock market's dynamics. Market performance is registered through the S&P index return obtained from Yahoo Finance, while the 10-year bond yield is sourced from Investing.com (2024). Then, it constructs inflation and unemployment rates by accessing from the Federal Reserve Economic Data (FRED) database (Federal Reserve Bank of St. Louis, 2024). Consumer sentiment is proxied by the University of Michigan indices, and industrial production data is taken from FRED to involve only Production, Sales, Work Started, and Orders for the Industry sector excluding Construction; the Economic Policy Uncertainty index is considered as well.
美国的数据集包括分析股票市场动态所必需的几个关键经济指标。 市场表现是通过从雅虎财经获得的标准普尔指数回报来记录的，而 10 年期债券收益率则来自 Investing.com（2024 年）。然后，它通过访问美联储经济数据 （FRED） 数据库（圣路易斯联邦储备银行，2024 年）来构建通货膨胀率和失业率。消费者信心指数由密歇根大学指数表示，工业生产数据取自 FRED，仅涉及工业部门（不包括建筑业）的生产、销售、已开始工作和订单;经济政策不确定性指数也被考虑在内。

In the United Kingdom, the FTSE 100 index return from S&P Yahoo Finance is used to gauge the health of financial system. The FRED Composite Consumer Confidence index is also included in the dataset to gauge general economic mood. The Office for National Statistics (2024) provides information on unemployment rates that provides in-depth analysis of labor market situations. Investing.com is the source of the 10-year bond yield, which represents investor confidence and long-term economic expectations. FRED is also used to collect other data on industrial output, such as Sales, output, Work Started, and Orders in industries other than Construction.
在英国，标准普尔雅虎财经的富时 100 指数回报用于衡量金融体系的健康状况。FRED 综合消费者信心指数也包含在数据集中，以衡量总体经济情绪。英国国家统计局 （2024） 提供有关失业率的信息，对劳动力市场状况进行了深入分析。Investing.com 是 10 年期债券收益率的来源，它代表了投资者的信心和长期经济预期。FRED 还用于收集有关工业产出的其他数据，例如建筑业以外的行业的销售额、产出、已开始的工作和订单。

For Japan, the N225 index return from Yahoo Finance is used to analyze the economic and financial markets and gives a quick overview of stock market performance. Unemployment statistics from FRED are used to track conditions in the labor market. Long-term economic projections are derived using 10-year bond yield data from Investing.com and Statistics of Japan (2024) for inflation. The Composite Consumer Confidence and Economic Uncertainty indexes, which measure economic mood and policy-related uncertainties, are derived from FRED and Economic Policy Uncertainty (2023), respectively. Like in the other nations, FRED is the source of industrial production statistics that gives an overview of Japan's economic activity. This data focuses on Production, Sales, Work Started, and Orders within the Industry sector, excluding Construction.
对于日本，雅虎财经的 N225 指数回报用于分析经济和金融市场，并快速概述股市表现。FRED 的失业统计数据用于跟踪劳动力市场的状况。长期经济预测是使用 Investing.com 和日本统计局（2024 年）的 10 年期债券收益率数据得出的通货膨胀数据。衡量经济情绪和政策相关不确定性的综合消费者信心指数和经济不确定性指数分别来自 FRED 和经济政策不确定性（2023 年）。与其他国家一样，FRED 是工业生产统计数据的来源，可以概览日本的经济活动。此数据侧重于 Industry 部门（不包括 Construction）内的 Production、Sales、Work Started 和 Orders。

3.3. Statistical Approach
3.3. 统计方法

This paper carries out the OLS regression between the macroeconomic indicators and the return of the stock market in the United States, United Kingdom, and Japan. In such a case, an OLS regression is selected because it is suitable to estimate the linear relationships of the dependent variable, in this case, the stock market returns, and the independent variables, the macroeconomic indicators.
本文对美国、英国和日本的宏观经济指标与股市回报进行了 OLS 回归。在这种情况下，选择 OLS 回归是因为它适合估计因变量（在本例中为股票市场回报）和自变量（宏观经济指标）的线性关系。

Before conducting the regression analysis, descriptive statistics are calculated for all variables, providing a summary of their central tendencies, dispersion, and overall distribution. This step helps to understand the basic characteristics of the data and ensures that the variables are on a comparable scale.
在进行回归分析之前，将计算所有变量的描述性统计量，提供其中心趋势、离散度和总体分布的摘要。此步骤有助于了解数据的基本特征，并确保变量处于可比较的尺度上。

These are then followed by the estimation of the OLS regression models, including current and lagged values of macroeconomic indicators in order to consider immediate and lagged effects on stock market performance. First of all, the coefficient estimates segment of OLS regression results and significance of its variables are checked for the personal indefinite effects of each macroeconomic factor on return in witnessing stocks. In addition, the R-squared adjusted shows the explanatory power of the models-that is, the adjusted R-squared values describe how well the variation in the performance of the stock market between the three economies is explained.
然后是对 OLS 回归模型的估计，包括宏观经济指标的当前值和滞后值，以便考虑对股市表现的直接和滞后影响。首先，检查 OLS 回归结果的系数估计部分及其变量的显著性，以了解每个宏观经济因素对见证股票回报的个人不确定影响。此外，调整后的 R 平方显示了模型的解释能力，即，调整后的 R 平方值描述了三个经济体之间股票市场表现变化的解释程度。

3.4. Limitation of Methodology
3.4. 方法的局限性

Despite being strong in methodology, the study lacks its own limitations, ranging from dependence on OLS assumptions to model specification. Ordinary Least Squares regressions work under several critical assumptions, including linearity, homoscedasticity, and independence of error terms. Deviations from those assumptions, including non-linearity, heteroscedasticity, and autocorrelation, will result in estimates that are either biased or inefficient (Wooldridge, 2016). Also, the study controls for these issues using robust standard errors and diagnostic tests; the weaknesses of OLS regression still persist, potentially affecting the validity of the findings.
尽管方法论很强大，但该研究缺乏自身的局限性，从对 OLS 假设的依赖到模型规范。普通最小二乘回归在几个关键假设下工作，包括线性、同方差性和误差项独立性。与这些假设的偏差，包括非线性、异方差性和自相关，将导致估计有偏差或效率低下（Wooldridge，2016）。此外，该研究使用稳健的标准误差和诊断测试来控制这些问题;OLS 回归的弱点仍然存在，可能会影响结果的有效性。

Another important limitation arises with regard to the specification of the models. While a theoretically justified selection of macroeconomic indicators, factors such as global economic shock or industry-specific variables are excluded, and their absence may be a source of omitted variable bias. Moreover, the introduction of lagged variables increases complexity and sensitivity to the choice of lag lengths, with possible risks of over- and underfitting of the models. These specification challenges have implications for the accuracy of the estimates from the models, and the generalizability of the results, hence cautious interpretations of the conclusions of this study are.called for.
另一个重要的限制是关于模型的规格。虽然宏观经济指标的选择在理论上是合理的，但全球经济冲击或行业特定变量等因素被排除在外，它们的缺失可能是遗漏变量偏差的来源。此外，滞后变量的引入增加了滞后长度选择的复杂性和敏感性，可能存在模型过拟合和欠拟合的风险。这些规范挑战对模型估计的准确性和结果的普遍性有影响，因此需要对本研究的结论进行谨慎的解释。

Results
结果

Primary Analysis
初级分析

The descriptive statistics in Table 1 provide an overview of the key macroeconomic indicators and stock market returns across the United States, the United Kingdom, and Japan. In the United States,high standard deviation of inflation at 94.05% and very large variation from a low of -1105.37% to a high of 691.35% may suggest that it has been highly volatile, maybe reflecting periods of economic turbulence. The average return of the stock index is rather modest, 0.61%, with the standard deviation being 4.51% to suggest moderate market variability. In the United Kingdom, times series data show more stable inflation and bond rates. Consumer sentiment of UK citizens is relatively high, averaging 100.09. Surprisingly, the EPU-index in the UK is rather distinctively higher compared to the other countries and thus signals greater perceived economic instability. The lowest average bond rate of 0.89% and unemployment rate of 4.1% belong to Japan, with special conditions present domestically, such as extensive low interest rates and stable labor markets. Japanese stock index return has a higher variability, with its standard deviation being at 5.42%, while the highest observed return is 15.04%. These descriptive statistics put various economic settings and market mechanisms across these three major economies into perspective and set further discussion of the impact on stock market performance.
表 1 中的描述性统计数据概述了美国、英国和日本的关键宏观经济指标和股票市场回报。 在美国，通货膨胀率的高标准差为 94.05%，从 -1105.37% 的低点到 691.35% 的高点变化非常大，这可能表明它一直高度波动，可能反映了经济动荡时期。股票指数的平均回报率相当适中，为 0.61%，标准差为 4.51%，表明市场波动适中。在英国，时间序列数据显示通货膨胀和债券利率更加稳定。英国公民的消费者信心相对较高，平均为 100.09。令人惊讶的是，与其他国家相比，英国的 EPU 指数明显更高，因此表明人们认为经济不稳定程度更高。日本的平均债券利率最低，为 0.89%，失业率为 4.1%，国内存在特殊条件，例如广泛的低利率和稳定的劳动力市场。日本股票指数回报率具有更高的可变性，其标准差为 5.42%，而观察到的最高回报率为 15.04%。这些描述性统计数据对这三个主要经济体的各种经济环境和市场机制进行了透视，并进一步讨论了对股市表现的影响。

Table 1. Descriptive Table
表 1.描述性表

Figure 1 shows the time series of returns in stock markets concerning the S&P 500, FTSE 100, and Nikkei 225. This graph shows that all three indices are substantially volatile; frequent fluctuations around the trend line signal significant gains and losses within brief lengths. The profiles indicate that all three markets, with only minor differences, move in tandem with the events of economic change throughout the world. However, due to the varied prevailing economic conditions and investor sentiments in the United States, the United Kingdom, and Japan, the response varies under the effect of the change in magnitude and time.
图 1 显示了标准普尔 500 指数、富时 100 指数和日经 225 指数在股市中回报的时间序列。该图显示，所有三个指数都非常波动;趋势线周围的频繁波动预示着在短时间内的重大收益和损失。概况表明，所有三个市场（只有微小差异）都与世界各地的经济变化事件同步移动。然而，由于美国、英国和日本的普遍经济状况和投资者情绪不同，在幅度和时间变化的影响下，反应会有所不同。

Figure 1. Time Series of Three Stock Market Indices Return
图 1.三个股票市场指数的时间序列回报

Factors Affect Market Indices
影响市场指数的因素

The results of regression analyses are captured in Table 2, where we investigate the influences of macroeconomic indicators on stock market returns across the United States, the United Kingdom, and Japan. These results reveal varying degrees of economic impacts and sensitivities specific to each country's stock market.
回归分析的结果见表 2，我们在其中研究了宏观经济指标对美国、英国和日本股市回报的影响。这些结果揭示了每个国家股票市场特有的不同程度的经济影响和敏感性。

Some of the significant determinants in the listed for stock market return in the regression analysis for the United States were as follows: Inflation had a negative coefficient of -0.0070 with 0.0030 standard error and significant at 1%, which implies that upward pressure on inflation tends to dampen the return on stock. Thus, this relationship may suggest that higher inflation erodes corporate profitability and investor returns, reflecting investor concerns about the economic outlook and the purchasing power of income. shockingly, the coefficient for unemployment came out to be positive, 1.7576, highly significant at 1% level of significance. This could indicate that recovery measures might be anticipated by the market or the market reacts to fiscal and monetary interventions positively when there is high unemployment. While the lagged unemployment rate contributed negatively to stock returns with a coefficient of -1.5614, significant at the 5% level indeed, it suggests that past unemployment rates further weaken investor confidence and market performance. Economic Policy Uncertainty also contributed negatively to the returns of stocks, and its coefficient was -0.0371, significant at 1%, underlining the fact that the increases in economic uncertainty may dampen the market sentiments and therefore diminish stock returns. Notably, the coefficient of lagged EPU was 0.0407, positive and significant at 1%, which indicates diminution of uncertainty, resolution, or adaptation to previous uncertainties trusts the performance of the market.
在美国回归分析中，列出的股票市场回报中的一些重要决定因素如下：通货膨胀的负系数为 -0.0070，标准误差为 0.0030，显著系数为 1%，这意味着通货膨胀的上行压力往往会抑制股票回报率。因此，这种关系可能表明，较高的通胀率会侵蚀企业盈利能力和投资者回报，反映出投资者对经济前景和收入购买力的担忧。令人震惊的是，失业系数为正 1.7576，在 1% 的显著性水平上非常显著。这可能表明市场可能会预期复苏措施，或者当失业率高企时，市场对财政和货币干预做出积极反应。虽然滞后的失业率对股票回报产生了负贡献，系数为 -1.5614，在 5% 的水平上确实很重要，但它表明过去的失业率进一步削弱了投资者的信心和市场表现。经济政策不确定性也对股票回报产生了负面影响，其系数为 -0.0371，显著为 1%，这凸显了经济不确定性的增加可能会抑制市场情绪，从而降低股票回报的事实。值得注意的是，滞后 EPU 的系数为 0.0407，为 1%，为正且显著，这表明不确定性的减少、解决方案或对先前不确定性的适应依赖于市场的表现。

The investigation provides noteworthy insights into the relationship between stock market returns and economic indicators in the United Kingdom. A coefficient of 1.6739, significant at the 5% level, shows that consumer sentiment has a large influence on the market. The positive correlation between the two variables implies that increasing consumer confidence, a sign of better economic outlook and spending capacity, has a beneficial impact on market performance and will probably raise stock prices via higher corporate profits. But the lag in consumer sentiment transforms into a negative association with stock returns, which might be an indication of a cooling down of early euphoria or of postponed market crashes. Similarly, with a substantial 5% level correlation of -0.0070, economic policy uncertainty has a direct and negative impact on stock returns. This demonstrates how uncertainty has a negative effect on investment choices and market stability. It's interesting to note that this uncertainty's lag effect has a beneficial influence on returns, maybe reflecting changes in the market or the gradual integration of uncertainty into pricing methods. The lack of discernible direct effects of other economic data, such as unemployment and inflation, on stock returns highlights the predominance of mood and policy expectations in the UK financial markets.
该调查为英国股市回报与经济指标之间的关系提供了值得注意的见解。系数 1.6739，在 5% 的水平上显著，表明消费者情绪对市场有很大影响。这两个变量之间的正相关意味着，消费者信心增强（经济前景和消费能力改善的标志）对市场表现有有益影响，并可能通过更高的企业利润推高股价。但消费者情绪的滞后转化为与股票回报的负相关，这可能表明早期的欣快感已经降温或市场崩盘推迟。同样，由于 -0.0070 的 5% 水平相关性，经济政策不确定性对股票回报有直接的负面影响。这表明不确定性如何对投资选择和市场稳定性产生负面影响。有趣的是，这种不确定性的滞后效应对回报产生了有益的影响，这可能反映了市场的变化或不确定性逐渐融入定价方法。失业率和通货膨胀等其他经济数据对股票回报缺乏明显的直接影响，这凸显了英国金融市场的情绪和政策预期占主导地位。

In Japan, the regression model reveals significant influences from both immediate and lagged economic indicators on stock market returns. The analysis shows that inflation, while slightly negative at -0.0019, did not significantly impact stock returns directly. However, its lagged effect, at -0.0062, was significant at the 5% level, suggesting that past inflation rates have a delayed negative influence on market performance, perhaps reflecting investor adjustments to anticipated cost increases in the economy. The 10-year Treasury bond rate displayed a notable positive coefficient of 3.9816, indicating that higher long-term interest rates, which often signal investor confidence and expectations of economic strength, positively affect stock market performance. In contrast, the lagged impact of the bond rate was significantly negative (-4.3013), highlighting the market's delayed adjustment to changes in interest rate expectations. Economic policy uncertainty also significantly negatively impacted stock returns, with a coefficient of -0.0487, demonstrating the market's adverse reaction to ambiguous economic policy environments. Interestingly, the lagged effect of economic policy uncertainty positively influenced the market with a coefficient of 0.0518, suggesting that initial reactions to uncertainty might be mitigated as conditions become clearer or as the market adjusts to new information. Other variables such as unemployment and consumer sentiment, despite their potential implications, did not exhibit statistically significant effects in the Japanese model, indicating a more subdued or indirect influence on stock market fluctuations within this specific economic context.
在日本，回归模型揭示了即时和滞后经济指标对股市回报的显著影响。分析显示，通货膨胀虽然略负 -0.0019，但并未直接显着影响股票回报。然而，其滞后效应为 -0.0062，在 5% 的水平上很显着，这表明过去的通胀率对市场表现的负面影响是延迟的，这可能反映了投资者对经济预期成本增加的调整。10 年期美国国债利率显示出 3.9816 的显着正系数，表明较高的长期利率通常表明投资者对经济实力的信心和预期，对股市表现产生积极影响。相比之下，债券利率的滞后影响显著负向 （-4.3013），凸显了市场对利率预期变化的延迟调整。经济政策不确定性也对股票回报产生了显著的负面影响，系数为 -0.0487，表明市场对模棱两可的经济政策环境的不良反应。有趣的是，经济政策不确定性的滞后效应对市场产生了积极影响，系数为 0.0518，这表明随着情况变得更加明朗或市场适应新信息，对不确定性的最初反应可能会减轻。其他变量，如失业和消费者信心，尽管有潜在影响，但在日本模型中没有表现出统计学上的显著影响，这表明在这种特定的经济背景下，对股市波动的影响更加温和或间接。

Table 2. Regressions Results for Whole Sample Size
表 2.整个样本量的回归结果

Note: Significance levels are denoted by * for , ** for , and *** for 0.01 ; standard errors are shown in parentheses next to each coefficient.
注： 显著性水平用 * 表示 ，** 表示 ，表示 和 0.01 ;标准误差显示在每个系数旁边的括号中。

Interactions and Auto-Reactions Among Stock Indices
股票指数之间的交互和自动反应

The impulse response analysis illustrates the dynamic interactions among the S&P 500, FTSE 100, and Nikkei 225 indices following shocks. For the S&P 500, a significant initial drop and recovery suggest a strong self-reactivity that stabilizes over time, while its mild impact on the FTSE 100 shows slight negative effects that briefly turn positive, indicating limited transatlantic shock transmission. The more pronounced immediate drop in the Nikkei 225 from S&P shocks highlights a stronger, albeit short-lived, cross-market influence. Conversely, shocks in the FTSE 100 exhibit negligible immediate effects on the S&P 500 but a sharp decline and recovery within its own market, pointing to a robust internal adjustment mechanism with minor repercussions on the Nikkei 225. Interestingly, the Nikkei 225 shows minimal to no significant impact on the S&P 500 and FTSE 100, but demonstrates a rapid self-correction, emphasizing the isolated nature of its market reactions to internal disturbances.
脉冲响应分析说明了冲击后标准普尔 500、富时 100 和日经 225 指数之间的动态相互作用。对于标准普尔 500 指数，最初的大幅下跌和反弹表明强烈的自我反应性会随着时间的推移而稳定下来，而它对富时 100 指数的轻微影响显示出轻微的负面影响，但短暂转为积极，表明跨大西洋冲击的传递有限。标准普尔冲击导致日经 225 指数立即下跌更明显，凸显了更强但短暂的跨市场影响力。相反，富时 100 指数的冲击对标准普尔 500 指数的直接影响可以忽略不计，但其自身市场内部的急剧下跌和复苏，这表明存在强大的内部调整机制，对日经 225 指数的影响很小。有趣的是，日经 225 指数对标准普尔 500 指数和富时 100 指数的影响很小或没有显著影响，但表现出快速的自我修正，强调了其市场对内部干扰反应的孤立性。

Figure 2. Impose Responses of Stock Market
图 2.实施股票市场的响应

Discussion
讨论

Overview of Key Findings
主要发现概述

The comprehensive regression analyses carried out in this study shed light on the complex joint interaction of macroeconomic indicators and stock market returns in the United States, the United Kingdom, and Japan. The main findings suggest that these indicators, in terms of their different impacts, provide substantial nuance at various levels to their predictive power and immediate versus delayed effects on stock markets.
本研究中进行的综合回归分析揭示了美国、英国和日本宏观经济指标和股票市场回报之间复杂的联合相互作用。主要研究结果表明，就其不同的影响而言，这些指标在各个层面上都为它们的预测能力以及对股市的即时与延迟影响提供了实质性的细微差别。

United States: In the U.S. economy, inflation turned out to be a major determinant inversely affecting stock returns. This confirms the conventional economic theories which consider inflation as a detractor of real investment returns by reducing purchasing power. Interestingly, the unemployment rate was positively related to stock returns in the near term, perhaps reflecting market optimism over expected interventions in economic policy that might be forthcoming in periods of high unemployment. The effect of lagging unemployment shows a negative impact, however, and would seem to indicate that the long effects of a poor labor market negative situation finally overcome the optimism with which market participants may greet economic decline. EPU also forced a significant negative immediate impact, showcasing thereby the adverse consequence of uncertainty on investment and stock prices. Conversely, the positive coefficient of the lagged EPU may signal market recovery or adjustment once initial uncertainties are resolved or better understood over time.
美国： 在美国经济中，通货膨胀是与股票回报产生反向影响的主要决定因素。这证实了传统经济理论，该理论认为通货膨胀通过降低购买力来削弱实际投资回报。有趣的是，失业率在短期内与股票回报呈正相关，这可能反映了市场对在高失业率时期可能出台的经济政策预期干预的乐观情绪。然而，滞后失业率的影响显示出负面影响，并且似乎表明劳动力市场不佳的负面状况的长期影响最终抵消了市场参与者对经济衰退的乐观情绪。EPU 还产生了重大的负面直接影响，从而展示了不确定性对投资和股票价格的不利影响。相反，一旦最初的不确定性得到解决或随着时间的推移得到更好的理解，滞后 EPU 的正系数可能预示着市场复苏或调整。

United Kingdom: United Kingdom: UK's market responses are indeed very sensitive to consumer sentiment, with commonplace large boosts to stock market returns in the immediate term. This probably reflects the direct impact of consumer confidence on economic activity and spending driving corporate earnings and stock valuations. The lagged negative effect of consumer sentiments can point to one of the two possibilities: either delayed market corrections or a tempering of optimism in the long run. It would, therefore, imply a more sophisticated interaction of perception with economic reality. Economic policy uncertainty further exerted a dragging effect directly on returns, underlining the importance of stable and predictable policies in creating propitious investment environments.
英国： 英国：英国的市场反应确实对消费者情绪非常敏感，短期内股市回报的大幅提升司空见惯。这可能反映了消费者信心对经济活动和支出的直接影响，从而推动了企业盈利和股票估值。消费者情绪的滞后负面影响可能指向两种可能性之一：要么市场调整延迟，要么从长远来看乐观情绪减弱。因此，这将意味着感知与经济现实的更复杂的互动。经济政策的不确定性进一步直接对回报产生拖累效应，凸显了稳定和可预测的政策在创造有利的投资环境方面的重要性。

Japan: The spread of the 10-year Treasury bond rate significantly influenced the positive fluctuation of stock returns in Japan. Every high level of long-term interest rates, usually interpreted as a sign of investor confidence and economic strength, had a beneficial impact on this market. While the negative lagged impact of the same indicator suggests that this is a very complex interaction where initial optimisms may yield to more conservative adjustments when future economic outlooks are reassessed. The results for Japan also revealed a less pronounced but significant lagged negative impact of inflation on stock returns, indicating delayed reactions by the market to foreseen cost rises in the economy.
日本： 10 年期美国国债利率的利差显著影响了日本股票回报的正波动。每一次高水平的长期利率，通常被解释为投资者信心和经济实力的标志，都对这个市场产生了有益的影响。虽然同一指标的负面滞后影响表明，这是一个非常复杂的相互作用，当重新评估未来经济前景时，最初的乐观情绪可能会屈服于更保守的调整。日本的调查结果还显示，通货膨胀对股票回报的负面影响不太明显但显著滞后，这表明市场对预期的经济成本上升反应迟缓。

The findings of this study underscore the significant interaction effects between different macroeconomic indicators and stock market returns, reinforcing the notion that financial markets are not isolated entities but rather part of a tightly interconnected global system.
这项研究的结果强调了不同宏观经济指标与股票市场回报之间的显着交互效应，强化了金融市场不是孤立实体而是紧密联系的全球系统的一部分的概念。

Comparative Analysis
比较分析

While carrying out a comparative study on the impact of macroeconomic indicators on stock market returns between the United States, the United Kingdom, and Japan, nuanced differences in such aspects become very vital for understanding global financial dynamics. This section examines the extent to which similar economic variables influence the stock markets in these three diverse economic settings.
在对宏观经济指标对美国、英国和日本股市回报的影响进行比较研究时，这些方面的细微差异对于理解全球金融动态变得非常重要。本节研究了在这三种不同的经济环境中，类似的经济变量对股票市场的影响程度。

Inflation and Interest Rates: In the general view, it can be said that inflation had a negative effect on the return of stocks for all three countries; however, its magnitude and significance were different. In the U.S., the return on stocks was significantly reduced by inflation, which agrees with the traditional economic perspective that higher inflation depletes purchasing power and investor confidence. For Japan, while the immediate impact of inflation on stock returns was insignificant, lagged negative effects of inflation showed that the market valuations have absorbed the inflationary expectations only gradually. In the U.K., there is less direct impact of inflation on the stock return perhaps due to different monetary policy responses or other economic activities that might have cushioned this process.
通货膨胀和利率： 从一般观点来看，可以说通货膨胀对所有三个国家的股票回报都有负面影响;然而，其规模和意义不同。在美国，通货膨胀大大降低了股票回报率，这与传统的经济观点一致，即更高的通货膨胀会耗尽购买力和投资者信心。对日本来说，虽然通货膨胀对股票回报的直接影响微不足道，但通货膨胀的滞后负面影响表明，市场估值只是逐渐吸收了通货膨胀预期。在英国，通货膨胀对股票回报的直接影响较小，这可能是由于不同的货币政策反应或其他经济活动可能缓冲了这一过程。

Interest rates, particularly those of the 10-year government bond yields, however, showed an interesting contrast. In the case of the U.S. and the U.K., it was a less minimum signal about its respective stock market performance, probably designating that other influences might offset the influence of the long-term interest rate. For Japan, however, the immediate term positive influence of a rise in bond yield on equity return was substantial, maybe reflecting a greater sensitivity of Japanese markets to altered long-term economic expectations. This might be due to the fact that Japan has suffered from deflation-a sustained period of low interest rates-and higher yields are viewed as a vital sign of economic strengthening.
然而，利率，尤其是 10 年期政府债券收益率的利率，显示出一个有趣的对比。就美国和英国而言，这是关于各自股市表现的不太小的信号，可能意味着其他影响可能会抵消长期利率的影响。然而，对日本来说，债券收益率上升对股票回报的短期积极影响是巨大的，这可能反映了日本市场对长期经济预期变化的更敏感。这可能是由于日本遭受了通货紧缩（持续的低利率时期）和更高的收益率被视为经济加强的重要标志。

Unemployment and Consumer Sentiment: Unemployment rates had various relations with stock returns in each country. For the U.S., such a positive immediate impact of unemployment on stock returns was pretty unexpected and may reveal anticipatory behavior with considerations of policies for the reduction of unemployment. In the cases of both the U.K. and Japan, unemployment did not have a consistent significant impact, suggesting that conditions of the labor market are probably less influential in these markets in an immediate manner when compared with larger economic or global factors.
失业率和消费者信心指数： 每个国家的失业率与股票回报率都有不同的关系。对于美国来说，失业对股票回报的这种积极直接影响是非常出乎意料的，并且可能揭示考虑减少失业政策的预期行为。在英国和日本的情况下，失业率都没有产生一致的重大影响，这表明与更大的经济或全球因素相比，劳动力市场状况对这些市场的直接影响可能较小。

In the U.K., consumer sentiment largely had significant impacts on stock returns immediately and in lagged terms, reflecting perhaps that this market is relatively sensitive to consumer outlooks-around a service-oriented economy where apparently consumer confidence easily leads the economic activities. However, American and Japanese economies show less immediate sensitivity of consumer sentiments either because of stronger dominance of other sectors in the respective economies or perhaps different consumers' behaviors.
在英国，消费者信心在很大程度上对股票回报产生了重大影响，影响是即时和滞后，这可能反映了这个市场对消费者前景相对敏感——围绕着一个服务型经济，显然消费者信心很容易引领经济活动。然而，美国和日本经济体对消费者情绪的直接敏感性较低，要么是因为各自经济体中其他行业占据主导地位，要么可能是消费者行为不同。

Economic Policy Uncertainty (EPU):  Economic Policy Uncertainty (EPU): EPU exerts a depressing impact on stock returns in the United States, United Kingdom, and Japan, an indication of the global nature of financial markets and general aversion to investment during times of uncertainty. However, it is possible that lagged effects of EPU might present a different picture, as indicated by research by Jin, Chen, and Yang (2019). Their findings indicate that while initial shocks of EPU increase stock price crash risk, the effects reverse over time. Inversely, this may mean that immediate market responses to EPU are dampened or even cancelled out when these uncertainties get internalized and digested within the market.
经济政策不确定性 （EPU）： 经济政策不确定性 （EPU）：EPU 对美国、英国和日本的股票回报产生抑制性影响，这表明金融市场的全球性质以及在不确定时期普遍厌恶投资。然而，正如 Jin、Chen 和 Yang （2019） 的研究所表明的那样，EPU 的滞后效应可能会呈现不同的情况。他们的研究结果表明，虽然 EPU 的初始冲击会增加股价崩盘风险，但随着时间的推移，其影响会逆转。相反，这可能意味着当这些不确定性在市场内部被内化和消化时，市场对 EPU 的即时反应会受到抑制甚至抵消。

Theoretical Insights
理论见解

Economic Theories
经济理论

Inflation Impact
通货膨胀影响

From the empirical results of this study, the relationship between inflation and stock returns is negative, in agreement with classic economic theories that describe how inflation depletes real investment returns and reduces consumer purchasing power. Modigliani and Cohn (1979) note that unexpected inflation could result in miscalculation in the prices of stocks since nominal interest rates would not rise sufficiently to hurt real returns. This erosion occurs because inflation dampens the real value of future cash flows, thereby making equity investment less attractive (Fama and Schwert, 1977). Inflation also affects corporate profitability since it raises the cost of goods, hence squeezing margins and reducing the appeal of stocks(Salisu, Raheem and Ndako, 2020).
从这项研究的实证结果来看，通货膨胀与股票回报之间的关系是负的，这与描述通货膨胀如何耗尽实际投资回报并降低消费者购买力的经典经济理论一致。Modigliani 和 Cohn （1979） 指出，意外的通货膨胀可能导致股票价格的计算错误，因为名义利率不会上升到足以损害实际回报的程度。之所以发生这种侵蚀，是因为通货膨胀抑制了未来现金流的实际价值，从而使股权投资的吸引力降低（Fama 和 Schwert，1977 年）。通货膨胀还会影响公司的盈利能力，因为它提高了商品成本，从而挤压了利润率并降低了股票的吸引力（Salisu、Raheem 和 Ndako，2020 年）。

According to traditional financial theory, equities are considered to be a hedge against inflation because, as Bodie noted in 1976, the role of equities as an effective hedge against inflation would tend to be self-correcting. Indeed, the effectiveness of stocks as a hedge against inflation remains highly dubious. Mixed empirical evidence about the inflationary hedging role of stocks may be attributed to the fact that stocks are often sensitive to monetary policy and economic cycles, and these may not always be contemporaneous with inflationary tendencies. As such, Fama and Schwert (1977) noted that stocks have been found not to be good hedges against inflation. The findings in this dissertation suggest that the relationship between inflation and stock returns may be more complex, influenced by factors such as monetary policy responses and investor expectations.
根据传统金融理论，股票被认为是对冲通货膨胀的工具，因为正如 Bodie 在 1976 年指出的那样，股票作为有效对冲通货膨胀的作用往往是自我纠正的。事实上，股票对冲通胀的有效性仍然非常值得怀疑。关于股票的通胀对冲作用的混合实证证据可能归因于这样一个事实，即股票通常对货币政策和经济周期敏感，而这些可能并不总是与通胀趋势同时发生。因此，Fama 和 Schwert （1977） 指出，已发现股票不是对冲通货膨胀的良好工具。本论文的发现表明，受货币政策反应和投资者预期等因素的影响，通货膨胀和股票回报之间的关系可能更加复杂。

Consumer Confidence
消费者信心

Consumer confidence is theorized to significantly influence economic activity. As posited by Keynes (1936), positive consumer sentiment leads to increased spending and investment, subsequently boosting economic output and supporting stock market growth. This relationship is evident in the data from the United Kingdom, where high consumer sentiment indices directly correlate with higher stock market returns. The underlying mechanism is that optimistic consumers are more likely to spend rather than save, which stimulates business revenues and, by extension, stock prices (Nowzohour and Stracca, 2020).
理论上，消费者信心会显着影响经济活动。正如 Keynes （1936） 所说，积极的消费者情绪导致支出和投资增加，从而促进经济产出并支持股市增长。这种关系在英国的数据中很明显，英国的高消费者信心指数与较高的股市回报率直接相关。潜在机制是乐观的消费者更有可能消费而不是储蓄，这刺激了企业收入，进而刺激了股价（Nowzohour 和 Stracca，2020 年）。

However, variations in the influence of consumer confidence between the U.S. and the UK suggest deviations from traditional expectations. While U.S. stock markets show less immediate sensitivity to changes in consumer sentiment, possibly due to the diverse and globally integrated nature of its economy, the UK markets react more quickly to shifts in consumer outlook. This difference could be attributed to the larger relative size of consumer-oriented sectors in the UK's economy, which makes it more responsive to changes in consumer sentiment (Lemmon and Portniaguina, 2006).
然而，美国和英国之间消费者信心影响的差异表明与传统预期存在偏差。虽然美国股市对消费者情绪变化的直接敏感性较低，这可能是由于其经济的多元化和全球一体化性质，但英国市场对消费者前景的变化反应更快。这种差异可以归因于英国经济中以消费者为导向的部门的相对规模较大，这使得它对消费者情绪的变化更敏感（Lemmon 和 Portniaguina，2006 年）。

Interest Rates and Investment
利率和投资

The relationship between bond yields (interest rates) and stock returns is a focal point of financial theory, particularly through the lens of the discounting mechanism of future cash flows. According to the Gordon Growth Model (Gordon and Shapiro, 1956), higher interest rates increase the discount rate, which lowers the present value of future cash flows and thus reduces equity values. This theoretical framework is consistent with the observed negative correlation between rising bond yields and stock returns in the U.S. However, Japan presents a contrasting scenario where higher bond yields have been associated with positive stock returns. This anomaly can be explained by the unique economic context of Japan, where prolonged periods of low interest rates and deflation have conditioned markets to view rising interest rates as a sign of economic strengthening and potential inflation, which is a positive signal for stocks (IJIRI and MATSUBAYASHI, 2019).
债券收益率（利率）与股票回报之间的关系是金融理论的一个焦点，特别是从未来现金流的贴现机制的角度来看。根据 Gordon 增长模型（Gordon 和 Shapiro，1956 年），较高的利率会增加贴现率，从而降低未来现金流的现值，从而降低股票价值。这一理论框架与观察到的美国债券收益率上升与股票回报之间的负相关是一致的。然而，日本呈现出一种截然不同的情况，即较高的债券收益率与正的股票回报相关。这种反常现象可以用日本独特的经济环境来解释，长期的低利率和通货紧缩使市场将利率上升视为经济走强和潜在通货膨胀的迹象，这对股票来说是一个积极的信号（IJIRI 和 MATSUBAYASHI，2019 年）。

The significance of taking into account regional economic settings when implementing economic theories is shown by these cross-national differences in the influence of interest rates. While the fundamental notion of interest rate sensitivity is valid, the particular dynamics between interest rates and stock market performances are shaped in large part by local variables including investor attitude, economic policy, and past economic circumstances.
在实施经济理论时考虑区域经济环境的重要性从利率影响的这些跨国差异中可以看出。虽然利率敏感性的基本概念是有效的，但利率和股市表现之间的特定动态在很大程度上是由当地变量决定的，包括投资者态度、经济政策和过去的经济状况。

Economic Policy Uncertainty
经济政策的不确定性

EPU significantly impacts financial economics, especially in influencing investment behavior, consumption patterns, and general performance of the stock market. Ambiguity in governmental policies most often restricts the pace of decisions within businesses and consumers, hence depressing overall economic activities and dampening stock markets. Chen et al. (2016) highlight that uncertainty can amplify these behavioral biases in exacerbating speculative mispricing, especially in markets with constraints such as short-sales bans, further distorting efficiency.
EPU 对金融经济学产生重大影响，尤其是在影响投资行为、消费模式和股票市场的一般表现方面。政府政策的模糊性通常会限制企业和消费者内部的决策速度，从而抑制整体经济活动并抑制股市。Chen et al. （2016） 强调，不确定性会放大这些行为偏差，加剧投机性错误定价，尤其是在有卖空禁令等限制的市场中，进一步扭曲效率。

This is further supported by Kundu and Paul, 2022, who add an alternate layer to the understanding of EPU's effects through their results that, while EPU may heighten market volatility on one side and demean stock returns initially, it, on the contrary, increases the return over time. The reason for this could be due to investors starting to replace higher premiums over time as compensation for the increased risk, which then turns out to stabilize the market and keeps volatility in check. This two-phase response underlies the complex and time-sensitive nature of EPU's effect on financial markets, depicting a cycle wherein immediate disruption is then met with gradual adjustment. These dynamics emphasize that consideration of the shocks in the short term, coupled with adjustments over the longer economic term, is imperative in assessing the effect of policy uncertainty. The key implications of such insights are fundamental for policymakers, investors, and financial analysts in order to make their way through highly uncertain times and attempt to minimize the negative repercussions while adjusting to the dynamically changing economic environment..
Kundu 和 Paul， 2022 进一步支持了这一点，他们通过他们的结果为理解 EPU 的影响增加了另一个层次，即虽然 EPU 一方面可能会加剧市场波动并降低股票回报，但相反，它会随着时间的推移增加回报。造成这种情况的原因可能是由于投资者随着时间的推移开始替换更高的溢价，作为对增加的风险的补偿，然后事实证明，这稳定了市场并控制了波动性。这种两阶段响应是 EPU 对金融市场影响的复杂性和时效性的基础，描绘了一个周期，在这个周期中，立即的破坏随后会逐渐调整。这些动态强调，在评估政策不确定性的影响时，必须考虑短期冲击，再加上长期经济的调整。这些见解的关键含义对于政策制定者、投资者和金融分析师来说至关重要，以便他们度过高度不确定的时期，并试图在适应动态变化的经济环境的同时尽量减少负面影响。。

Stock Market Indices Interaction
股票市场指数互动

The findings are in line with those by Nandy and Chattopadhyay (2019) and Öner, Öner, and Kılıç Satıcı (2022), both of which present evidence for strong interdependencies and spillover effects within and across global financial markets. They indicate, financially speaking, the way activities and uncertainties in one region may be transmitted and strongly hit the financial markets of other regions, therefore supporting the concept of an interconnected world stock market.
这些发现与 Nandy 和 Chattopadhyay （2019） 以及 Öner、Öner 和 Kılıç Satıcı （2022） 的研究结果一致，这两者都证明了全球金融市场内部和之间具有很强的相互依存关系和溢出效应。从金融角度讲，它们表明了一个地区的活动和不确定性可能传递的方式，并强烈冲击了其他地区的金融市场，因此支持了相互关联的世界股票市场的概念。

Theoretical economic models suggest that such linkages are vital in observing the impact of one market's shock on another, and this view is supported by various contagion and spillover effects that have been observed during financial crises (Forbes and Rigobon, 2002). For instance, our findings will suggest that significant events in US market conditions would have contemporaneous and quantifiable effects on the states of the financial markets in the UK and Japan, hence testing the notion of financial integration and global transmission of economic information as explained by the theory in Ehrmann, Fratzscher, and Rigobon (2011).This cross-market influence is particularly pronounced in the presence of high Economic Policy Uncertainty (EPU), where investor sentiment in one country can exacerbate volatility across global markets (Baker, Bloom, and Davis, 2016). These insights align with modern portfolio theory, which emphasizes the benefits of diversification across geographically and economically diverse assets to mitigate risks associated with such inter-market dependencies (Markowitz, 1952).
理论经济模型表明，这种联系对于观察一个市场冲击对另一个市场的影响至关重要，这一观点得到了金融危机期间观察到的各种传染和溢出效应的支持（Forbes 和 Rigobon，2002 年）。例如，我们的研究结果表明，美国市场条件下的重大事件将对英国和日本的金融市场状态产生同时期和可量化的影响，从而检验了 Ehrmann、Fratzscher 和 Rigobon （2011） 的理论所解释的金融一体化和经济信息全球传播的概念。这种跨市场影响在经济政策高度不确定性 （EPU） 的情况下尤为明显，一个国家的投资者情绪可能会加剧全球市场的波动性（Baker、Bloom 和 Davis，2016 年）。这些见解与现代投资组合理论一致，现代投资组合理论强调在地理和经济上多样化的资产之间实现多元化的好处，以减轻与这种市场间依赖性相关的风险（Markowitz，1952）。

Comparison with Established Economic Models
与既定经济模型的比较

Efficient Market Hypothesis (EMH)
有效市场假说 （EMH）

The EMH postulates that the prices of stocks at any given time fully reflect all available information. Therefore, from a theoretical viewpoint, it is impossible to realize above-average returns consistently using publicly available information by trading in stocks. This concept is deeply rooted in the belief in the high efficiency of stock markets in processing information-the prices adjust promptly to reflect any new data.
EMH 假设股票价格在任何给定时间都完全反映了所有可用信息。因此，从理论的角度来看，通过股票交易不可能利用公开信息始终如一地实现高于平均水平的回报。这个概念深深植根于股票市场处理信息效率高的信念——价格会迅速调整以反映任何新数据。

Empirical evidence from this dissertation suggests that the real-world application could be far more complex than is advanced either way by the two theories. Specifically, the immediate, as well as predictive, responses of stock markets to economic indicators challenge some basic assumptions of EMH.
这篇论文的经验证据表明，现实世界的应用可能比这两种理论所提出的要复杂得多。具体来说，股票市场对经济指标的即时和预测反应挑战了 EMH 的一些基本假设。

Immediate Market Responses: The findings indicate that immediacy of market response to the new information about economic data is, in fact, not supported, which once more goes against the ideas introduced by EMH. In particular, it was mentioned that one could find significant lags in a stock price adjustment to correspond to changes in economic policy uncertainty and abrupt changes in inflation. These latter delays may be caused by factors such as the time it takes for full digestion and reaction by the investor, inequality in access to sophisticated tools and technologies to analyze events by investors, or systemic inefficiencies in the processing and distribution of new information in financial markets. These are inefficiencies that might allow temporary mispricing to result, providing an opportunity for investors to profit by being better at interpreting and reacting to information than the overall market.
即时市场反应：研究结果表明，事实上，市场对经济数据新信息的反应的即时性并未得到支持，这再次违背了 EMH 提出的想法。特别是，有人提到，人们可以在股票价格调整中发现明显的滞后性，以对应经济政策不确定性的变化和通货膨胀的突然变化。后一种延迟可能是由以下因素造成的：投资者完全消化和反应所需的时间、投资者在获得分析事件的复杂工具和技术方面的不平等，或金融市场处理和分发新信息的系统性效率低下。这些是低效率的，可能会导致暂时的错误定价，为投资者提供机会，通过比整个市场更好地解释和反应信息来获利。

Predictive Responses: The study delved into the concept of predictive responses, exploring how investors' prior knowledge of economic trends enables them to anticipate and act on future market movements effectively. This ability to forecast the impacts of specific economic indicators on market trends—such as inflation rates, unemployment figures, or shifts in consumer sentiment—allows investors to position their portfolios advantageously, potentially securing profits before these insights are fully integrated into market prices.
预测性反应：该研究深入探讨了预测性反应的概念，探讨了投资者对经济趋势的先验知识如何使他们能够有效地预测未来市场走势并采取行动。这种预测特定经济指标对市场趋势（例如通货膨胀率、失业率或消费者情绪变化）影响的能力使投资者能够有利地配置他们的投资组合，从而有可能在这些见解完全整合到市场价格之前获得利润。

This is a proactive approach because the findings of the study oppose the basic claim of EMH, where the price of stocks already reflects all available information and, hence, it is impossible to achieve above-average return by making use of public information. The predictive ability underlying this research suggests that it is possible for markets not to be always efficient. Instead, smart investors may find temporary mispricings or less-than-obvious trends advantageous to them. Such a discrepancy suggests a critical difference between theoretical notions of market efficiency and practical market behavior, wherein true forecasting with strategic positioning does yield significant returns-opposite to the very basic tenets of EMH.
这是一种积极主动的方法，因为研究结果与 EMH 的基本主张相反，即股票价格已经反映了所有可用信息，因此，不可能利用公共信息获得高于平均水平的回报。这项研究背后的预测能力表明，市场可能并不总是有效的。相反，聪明的投资者可能会发现暂时的错误定价或不太明显的趋势对他们有利。这种差异表明市场效率的理论概念与实际市场行为之间存在关键差异，其中具有战略定位的真正预测确实会产生可观的回报——这与 EMH 的非常基本原则相反。

Behavioral Considerations: EMH is dependent on one crucial assumption-that all investors are always rational, and their investment decisions are based only on informationally available data. This again is often contrary to real-life behavior in financial markets, where investment decisions are mostly driven by psychological factors of fear and greed, as well as the tendency to simply follow the crowd, a common phenomenon referred to as herd mentality. It is the interdisciplinary field of behavioral finance that documented in what ways and to what extent these more emotive responses to the market have enormous influence. Examples include fear, which determines panic selling during highly volatile periods, while greed may push prices in unsustainable bubbles. Herd behavior, the tendency to follow the market trend without consideration of fundamental due diligence, is yet another example. These emotional reactions may lead to overreactions or underreactions in markets when faced with news, thereby forming price movements that do not align with the movements as predicted by models based on assumptions of rational behaviors. Such phenomena are at variance with the core of EMH, pointing out the fact that markets are not always perfectly efficient and that psychological factors may also create significant market distortions.
行为考虑： EMH 取决于一个关键假设——所有投资者始终是理性的，他们的投资决策仅基于信息可用的数据。这往往与金融市场的现实生活行为相反，在金融市场中，投资决策主要由恐惧和贪婪等心理因素驱动，以及简单地随波逐流的倾向，这种常见现象被称为从众心理。正是行为金融学的跨学科领域记录了这些对市场的更情绪化的反应以何种方式以及在多大程度上具有巨大影响。例子包括恐惧，它决定了在高度波动时期的恐慌性抛售，而贪婪可能会在不可持续的泡沫中推高价格。从众行为，即在不考虑基本尽职调查的情况下追随市场趋势的倾向，是另一个例子。这些情绪反应可能导致市场在面对新闻时反应过度或反应不足，从而形成与基于理性行为假设的模型预测的走势不一致的价格走势。这种现象与 EMH 的核心不一致，指出市场并不总是完全有效的，心理因素也可能造成严重的市场扭曲。

Market Frictions: The theory of the EMH advances the concept that all publicly available information is reflected in the stock prices without any time delay and works for efficiency in the market. Real markets, however, rethink this ideal process owing to different types of market frictions which constitute a formidable barrier. Transaction costs such as brokerage fees and taxes have a straightforward effect on the profitability of trading and may discourage the rapid readjustment of portfolios in response to new information. Trading constraints such as regulatory ongoing constraints and liquidity make it difficult to undertake trades at prices that one wants. There may be a huge difference in asymmetric information flows between investors, creating wide inequalities in terms of trading advantage. For instance, institutional investors have better analytic tools and quicker data feeds compared to the small individual investors. These frictions result in the temporary mis-pricing of securities. The inefficient price offers opportunities for keen-eyed investors to take advantage of these inefficiencies. Scenarios like these question the very foundation of EMH, which rests on the efficiency of markets, and highlight how structural and systemic hindrances pose a barrier to the actual reflection of information in stock prices.
市场摩擦： EMH 理论提出了所有公开可用的信息都毫不犹豫地反映在股票价格中的概念，并致力于提高市场效率。然而，由于不同类型的市场摩擦构成了巨大的障碍，Real Markets 会重新思考这一理想的过程。经纪费和税收等交易成本对交易的盈利能力有直接影响，并可能阻碍投资组合的快速调整以应对新信息。交易限制（例如监管持续限制和流动性）使得很难以想要的价格进行交易。投资者之间的不对称信息流可能存在巨大差异，从而在交易优势方面造成广泛的不平等。例如，与小型个人投资者相比，机构投资者拥有更好的分析工具和更快的数据馈送。这些摩擦导致了证券的暂时错误定价。低效的价格为眼光敏锐的投资者提供了利用这些低效率的机会。诸如此类的情景质疑了 EMH 的基础，它依赖于市场的效率，并凸显了结构和系统性障碍如何对信息在股票价格中的实际反映构成障碍。

Capital Asset Pricing Model (CAPM):
资本资产定价模型 （CAPM）：

The CAPM offers a conceptual framework consequential to the interpretation of the risk-return paradigm within the scope of these varying economic regimes, that is, the United States, the United Kingdom, and Japan. An analytical look shows how macroeconomic indicators have a bearing on stock market returns; CAPM acts as the theoretical bone that helps in structuring the understanding of how systematically related risks such as inflation and EPU affect financial markets. This model allows the research of the risk premium investor demands under different economic conditions and offers an in-depth analysis of broader economic changes and particular market reactions, raising the understanding of international financial interlinkages by several notches.
CAPM 提供了一个概念框架，用于在这些不同的经济制度（即美国、英国和日本）的范围内解释风险回报范式。分析性观察显示了宏观经济指标如何影响股市回报;CAPM 充当理论支柱，有助于构建对系统相关风险（如通货膨胀和 EPU）如何影响金融市场的理解。该模型允许研究投资者在不同经济条件下的风险溢价需求，并对更广泛的经济变化和特定的市场反应进行深入分析，将对国际金融相互联系的理解提高了几个档次。

EPU and CAPM: EPU is an acronym for a deep type of systematic risk in financial markets that involves the pricing of all securities. According to the CAPM, such increasing uncertainty is supposed or believed to increase risk premiums demanded by investors, because investors perceive more risks in investment in an unstable economic environment. Empirical evidence supports this theory, showing that with increased EPU levels, diminished stock returns have taken place, meaning that investors do want higher returns in exchange for the greater risk. It is, however, acknowledged that in the longer run, the adverse effects of EPU weaken, as markets may adapt to a new attitude of high uncertainty, suggesting a possible recalculation of the expected risk premium. This dynamic shift represents a significant challenge to traditional CAPM, which normally operates under the assumption that the conditions of risk remain static. The observations will indicate an important need for revising the CAPM through the introduction of mechanisms that can change dynamically, as sentiments in markets and general economic conditions continue to alter over time. These adaptations may render the CAPM a more accurate and realistic tool with which to predict investor behavior regarding swings in economic policy stability.
EPU 和 CAPM： EPU 是金融市场中一种深度系统性风险的首字母缩写词，涉及所有证券的定价。根据 CAPM 的说法，这种不断增加的不确定性被认为或被认为会增加投资者要求的风险溢价，因为投资者在不稳定的经济环境中认为投资风险更大。经验证据支持这一理论，表明随着 EPU 水平的增加，股票回报率下降，这意味着投资者确实希望获得更高的回报以换取更大的风险。然而，众所周知，从长远来看，EPU 的不利影响会减弱，因为市场可能会适应高度不确定性的新态度，这表明可能会重新计算预期风险溢价。这种动态转变对传统的 CAPM 构成了重大挑战，传统 CAPM 通常在风险条件保持静态的假设下运作。这些观察将表明，随着市场情绪和总体经济状况随着时间的推移不断变化，通过引入可以动态变化的机制来修订 CAPM 的重要需求。这些调整可能使 CAPM 成为更准确和现实的工具，用于预测投资者对经济政策稳定性波动的行为。

The Role of Interest Rates: The interest rate factor is instrumental in the CAPM; it goes to the extent of asserting that a change in the risk-free interest rate significantly impacts the return requirements from all kinds of investments. As a matter of fact, this relationship makes changes in economic conditions coupled with shifts in market expectations. According to the CAPM framework, the expected return on stocks should increase with an increase in the risk-free rates, assuming that the risk premium demanded by investors increases proportionally. The variability in observational data from Japan is particularly instructive regarding how modifications can be made to CAPM in light of specific regional economic characteristics. An upsurge in bond yields in Japan Tonga-increasing risk-free rates-is perceived as good news by the market presumably because such reflects expectations of economic growth and strengthening confidence by investors. This reaction is somewhat abnormal compared to more predictable responses one might imagine to occur in more stable economies, such as the United States or the United Kingdom, where shifting bond yields might not yield so neatly positive market receptions. This divergence indicates that CAPM needs modification to reflect the differing investor expectations and various economic conditions between global markets. Adaptation ensures the continued relevance of CAPM in measuring investment returns among different economies, representing not only the universal principles of finance but also the unique nuances of the different regional economies.
利率的作用： 利率因素在 CAPM 中起着重要作用;它甚至断言无风险利率的变化会显着影响各种投资的回报要求。事实上，这种关系使经济状况的变化以及市场预期的变化。根据 CAPM 框架，假设投资者要求的风险溢价成比例增加，股票的预期回报率应随着无风险利率的增加而增加。来自日本的观测数据的可变性对于如何根据特定的区域经济特征对 CAPM 进行修改特别具有指导意义。日本汤加债券收益率飙升——提高无风险利率——被市场视为好消息，大概是因为这反映了对经济增长的预期和投资者信心的增强。与人们可能想象的更可预测的反应相比，这种反应在某种程度上是不正常的，因为美国或英国等经济体的债券收益率变化可能不会产生如此积极的市场接受度。这种差异表明 CAPM 需要修改，以反映全球市场之间不同的投资者期望和各种经济状况。适应确保了 CAPM 在衡量不同经济体之间投资回报方面的持续相关性，不仅代表了金融的普遍原则，还代表了不同区域经济体的独特细微差别。

Limitations in the CAPM Framework: Despite the broad utility of the CAPM, it has a number of limitations because it follows only a single-factor model which cannot capture the multi-dimensional impact of macroeconomic indicators. The basic assumption behind this model-market efficiency and investor rationality-very often breaks down when the situation involves high uncertainty or economic distress. All of these issues bring out the areas wherein CAPM can be further refined or extended by the inclusion of multi-factor risk assessments or adaptive beta calculations that could better reflect this real-time character of world markets. The enhancement of this characteristic in CAPM would thus go a long way toward providing a more realistic and sensitive analytical tool in telling how macroeconomic indicators bear on common stock returns and how these change in subtle and changing international financial environments.
CAPM 框架的局限性： 尽管 CAPM 具有广泛的用途，但它也有许多局限性，因为它只遵循单因素模型，无法捕捉宏观经济指标的多维影响。当情况涉及高度不确定性或经济困境时，这种模型背后的基本假设——市场效率和投资者理性——往往会崩溃。所有这些问题都揭示了 CAPM 可以通过纳入多因素风险评估或自适应 beta 计算来进一步完善或扩展的领域，这些计算可以更好地反映世界市场的实时特征。因此，CAPM 中这一特性的增强将大大有助于提供更现实和更敏感的分析工具，以说明宏观经济指标如何影响普通股回报，以及这些指标在微妙和不断变化的国际金融环境中如何变化。

Conclusion and Recommendation
结论和建议

Summary of Study
研究总结

The research findings highlight the various levels of impacts of different macroeconomic indicators on the stock markets of the United States, the United Kingdom, and Japan. Issues that have emerged from this analysis have underlined a complex interplay existing between economic variables and market performance. Generally, inflation emerged to dampen the returns on stocks in all the three markets, an occurrence that is consistent with economic theories, which say that inflation erodes purchasing power and investor confidence. However, the impact differed in magnitude : A relative comparison between Japan and the UK revealed that the U.S. market was more responsive to changes in inflation. Mixed effects were brought about by unemployment rates; the positive effect in the U.S. is most likely because of the anticipatory investor behavior regarding measures of economic recovery. Conversely, a normal significant rapport between unemployment rates and stock return has not been witnessed in either the UK or Japan. The indicators that make consumer sentiment and bond yields some of the strong leading indicators of market movements are explained hereby, especially for Japan, where better market performance has been related to higher long-term interest rates-a case anomaly signaling special conditions from the regional economic performance. On the other hand, economic policy uncertainty universally induced negative market reactions, which highlights its role as a critical destabilizer of financial stability.
研究结果强调了不同宏观经济指标对美国、英国和日本股市的不同程度的影响。从这项分析中得出的问题凸显了经济变量和市场表现之间存在的复杂相互作用。一般来说，通货膨胀的出现抑制了所有三个市场的股票回报率，这种情况与经济理论一致，经济理论认为通货膨胀会侵蚀购买力和投资者信心。然而，影响的幅度不同：日本和英国之间的相对比较表明，美国市场对通胀变化的反应更敏感。失业率带来了混合影响;在美国的积极影响很可能是因为投资者对经济复苏措施的预期行为。相反，在英国和日本都没有看到失业率和股票回报率之间正常的重要关系。特此解释使消费者信心和债券收益率成为市场走势的一些强劲领先指标的指标，特别是对于日本，更好的市场表现与更高的长期利率有关——这种情况异常表明区域经济表现的特殊情况。另一方面，经济政策的不确定性普遍引发了负面的市场反应，这凸显了其作为金融稳定的关键破坏因素的作用。

The empirical data from this study challenge and refine the foundational assumptions of the Efficient Market Hypothesis (EMH) and the Capital Asset Pricing Model (CAPM). The EMH, which posits that stock prices reflect all available information and adjust rapidly to new data, was tested against the backdrop of observed market inefficiencies and the delayed reaction of stock prices to economic indicators. Particularly, the role of economic policy uncertainty and its inconsistent effects on stock prices suggest that markets may not always process information efficiently, or that information asymmetry persists in ways not accounted for by EMH. Similarly, the CAPM, which focuses on the relationship between expected risk and expected return, was scrutinized through the lens of varying impacts of bond yields and market volatilities. The findings suggest that while CAPM holds in general theory, its practical application may require adaptations to account for regional economic peculiarities and the multi-faceted influences of macroeconomic variables, thus challenging the model's universal applicability.
本研究的实证数据挑战并完善了有效市场假说 （EMH） 和资本资产定价模型 （CAPM） 的基本假设。EMH 假设股票价格反映了所有可用信息并根据新数据迅速调整，在观察到的市场效率低下和股票价格对经济指标反应滞后的背景下进行了测试。特别是，经济政策不确定性的作用及其对股票价格的不一致影响表明，市场可能并不总是有效地处理信息，或者信息不对称以 EMH 未考虑的方式持续存在。同样，关注预期风险和预期回报之间关系的 CAPM 通过债券收益率和市场波动的不同影响进行了审查。研究结果表明，虽然 CAPM 在一般理论上成立，但其实际应用可能需要进行调整以解释区域经济特点和宏观经济变量的多方面影响，从而挑战该模型的普遍适用性。

From a practical perspective, these findings have great implications for investors, policy makers, and financial analysts who wish to chart their course through the labyrinth of international financial conditions. It will put investors in a better position to develop a sophisticated view of how specific economic indicators-like consumer sentiment or bond yields-predict market fluctuations and to craft investment strategies based on this insight. The clear correlation between economic policy uncertainty and market instability underlines for policymakers the importance of clear and consistent policy directions as ways of fostering market confidence and stability. These findings could be used by financial analysts in refining predictive models and investment advisories by embedding lagged effects of economic indicators and regional economic specifics into their models for better forecast accuracy. Therefore, integrating these empirical insights into economic strategy and investment helps stakeholders adequately prepare responses or face these dynamic forces of global markets.
从实践的角度来看，这些发现对希望在国际金融状况的迷宫中规划路线的投资者、政策制定者和金融分析师具有重大意义。它将使投资者能够更好地了解特定经济指标（如消费者信心或债券收益率）如何预测市场波动，并根据此见解制定投资策略。经济政策不确定性与市场不稳定之间的明显相关性凸显了政策制定者明确一致的政策方向作为培养市场信心和稳定性的重要性。金融分析师可以通过将经济指标和区域经济细节的滞后效应嵌入到他们的模型中来提高预测准确性，从而使用这些发现来改进预测模型和投资咨询。因此，将这些实证见解整合到经济战略和投资中有助于利益相关者充分准备应对措施或面对全球市场的这些动态力量。

Recommendation
建议

Policy Recommendations
策略建议

The study's insights highlight the need for economic and regulatory policies that are tailored to the unique dynamics of macroeconomic indicators and their impact on stock markets. Specifically, it suggests several targeted strategies for governments and monetary authorities:
该研究的见解强调了根据宏观经济指标的独特动态及其对股市的影响制定经济和监管政策的必要性。具体来说，它为政府和货币当局提出了几种有针对性的策略：

Monetary Policy Adjustments: Central bank need to adopt changes in monetary policy to reflect new changes in inflation and bond yields. In countries like the United States, where its inflation sensitivity to its markets comparably sensitive, tweaking interest rate policies could avoid deterring effects of increases in inflation on stock market performance. If interest rate policies can be more harmonious with current economic activity, monetary policy can be a stronger influence on the market.
货币政策调整：央行需要改变货币政策，以反映通胀和债券收益率的新变化。在像美国这样的国家，其通胀对市场的敏感性相对敏感，调整利率政策可以避免通胀上升对股市表现的威慑作用。如果利率政策能够与当前的经济活动更加协调，那么货币政策就可以对市场产生更大的影响。

Mitigating Policy Uncertainty: This paper also brings into light how economic policy uncertainty acts as a destructive factor in maintaining stability in the market. In an attempt to ameliorate this, it becomes imperative on the part of governments to bring about transparency and predictability in policy matters. Policymakers should commit themselves to a clear and unwavering economic policy and make sure of open communication with the financial community to reduce uncertainty that most of the time culminates into market volatility. Regular notifications on changes in policies, fiscal adjustments, and mechanisms for future economic strategies should be made to reduce market speculations that lead to instability.
减轻政策不确定性：他的论文还揭示了经济政策不确定性如何成为维持市场稳定的破坏性因素。为了改善这种情况，政府必须实现政策事务的透明度和可预测性。政策制定者应致力于制定明确而坚定的经济政策，并确保与金融界进行公开沟通，以减少不确定性，因为不确定性在大多数情况下会导致市场波动。应定期通报政策、财政调整和未来经济战略机制的变化，以减少导致不稳定的市场投机。

Investment Strategies
投资策略

The findings from this study provide actionable insights for investors looking to refine their strategies in light of the complex interplay between macroeconomic indicators and stock market responses:
鉴于宏观经济指标和股市反应之间复杂的相互作用，本研究的结果为希望改进其策略的投资者提供了可操作的见解：

Timing Investments: This may be a sophisticated distinction between immediate versus lagged effects of the macroeconomic variables that the investor can exploit to optimize his timing. For example, immediate positive responses to falling unemployment or pre-emptive policy changes may offer particularly rewarding nearby trading opportunities. By contrast, the lagged effects of inflation and of the bond yield provide indications of long-term strategic investment decisions. This, in turn, allows investors to be better prepared about the market movements and their entry and exit points.
时机投资：这可能是投资者可以利用的宏观经济变量的即时效应和滞后效应之间的复杂区别来优化其时机。例如，对失业率下降或先发制人的政策变化的即时积极反应可能会提供特别有益的附近交易机会。相比之下，通货膨胀和债券收益率的滞后效应为长期战略投资决策提供了指标。反过来，这使投资者能够对市场走势及其进入和退出点做好更好的准备。

Diversification and Hedging: The divergent reactions of markets in the U.S., UK, and Japan to similar economic stimuli suggest that geographical diversification can be an important risk management tool. Investors should strive to create portfolios spanning these different markets to reduce risks associated with any single economic environment. Besides, hedging can be a tool used in protecting against such adverse movements' studies of options and futures, therefore, unexpected inflation spikes, or increases in economic policy uncertainty. It would, in addition, adequately customize certain hedging strategies that, by as much as possible, consider specific macroeconomic variables to further improve resilience and even returns for the portfolio.
多元化和对冲：美国、英国和日本市场对类似经济刺激措施的不同反应表明，地域多元化可以成为一种重要的风险管理工具。投资者应努力创建跨越这些不同市场的投资组合，以降低与任何单一经济环境相关的风险。此外，对冲可以成为一种工具，用于防止对期权和期货的研究，因此，意外的通胀飙升或经济政策不确定性的增加。此外，它将充分定制某些对冲策略，尽可能多地考虑特定的宏观经济变量，以进一步提高投资组合的弹性甚至回报。

For Future Research
用于未来研究

The findings of this study pave the way for further exploration into the complex dynamics between economic indicators and stock market performance, suggesting multiple directions for future research:
这项研究的结果为进一步探索经济指标和股市表现之间的复杂动态铺平了道路，为未来的研究提出了多个方向：

Incorporating Additional Macroeconomic Indicators: The further work should consider a broader scope of economic indicators analyzed. Supplementing the economic variables like consumer credit or balance of trade may yield greater insight into economic fundamentals driving stock markets. In this way, it would show complex patterns that perhaps are linked with a strong predictor of market variability to enhance an analytical framework that seeks to understand the economic dynamics involved.
纳入其他宏观经济指标：进一步的工作应考虑更广泛的经济指标分析。补充消费者信贷或贸易差额等经济变量可能会更深入地了解推动股市的经济基本面。通过这种方式，它将显示可能与市场可变性的强大预测因子相关的复杂模式，以增强寻求理解所涉及的经济动态的分析框架。

Exploring Other International Markets: The expansion of the research base to include emerging markets or smaller economies will cause a significant improvement in the generality as well as the applicability of the findings. Markets that are at dissimilar levels of development, due to economic infrastructure differences, may respond differently to similar economic stimuli, thereby offering valuable insights into global financial response diversity. The extension would not only validate current results using varied contexts, but it would also enrich our understanding of how different market structures and economic policies shape the financial behavior of individuals worldwide.
探索其他国际市场：将研究基础扩大到包括新兴市场或较小经济体，将导致研究结果的普遍性和适用性得到显着改善。由于经济基础设施的差异，处于不同发展水平的市场可能对类似的经济刺激做出不同的反应，从而为了解全球金融反应的多样性提供有价值的见解。该扩展不仅将验证使用不同背景的当前结果，而且还将丰富我们对不同市场结构和经济政策如何影响全球个人金融行为的理解。

Methodological Improvements: The research area also allows room for methodological improvements in future studies. Advanced statistical techniques, using methods such as machine learning algorithms or nonlinear regression models, may signal subtle patterns and relationships that are not immediately evident through traditional methods. Moreover, the longitudinal design or integration of real-time data analysis could yield insights over the immediate effects of economic changes and offer a more dynamic perspective on how markets react to real-world economic events. By transmitting such methodological improvements, the precision and relevance of findings from research could become more detailed and timely to guide academics and practitioners better through financial market intricacies.
方法学改进：该研究领域还为未来的研究提供了方法学改进的空间。使用机器学习算法或非线性回归模型等方法的高级统计技术可能会发出通过传统方法无法立即显现的细微模式和关系的信号。此外，实时数据分析的纵向设计或整合可以深入了解经济变化的直接影响，并为市场如何对现实世界的经济事件做出反应提供更动态的视角。通过传播这些方法改进，研究结果的准确性和相关性可以变得更加详细和及时，从而更好地指导学者和从业者解决金融市场的复杂性。

Reference list
参考列表

Al-Thaqeb, S.A. and Algharabali, B.G. (2019). Economic policy uncertainty: A literature review. The Journal of Economic Asymmetries, 20, p.e00133. doi:https://doi.org/10.1016/j.jeca.2019.e00133.
Al-Thaqeb， SA 和 Algharabali， BG （2019）。经济政策不确定性：文献综述。经济不对称杂志，20，p.e00133。doi：https：//doi.org/10.1016/j.jeca.2019.e00133.

Baker, S.R., Bloom, N. and Davis, S.J. (2021). Measuring Economic Policy Uncertainty. The Quarterly Journal of Economics, 131(4), pp.1593–1636.
贝克，SR，布鲁姆，新泽西州和戴维斯，SJ（2021 年）。衡量经济政策的不确定性。经济学季刊，131（4），第 1593-1636 页。

Bhuiyan, E.M. and Chowdhury, M. (2019). Macroeconomic variables and stock market indices: Asymmetric dynamics in the US and Canada. The Quarterly Review of Economics and Finance, [online] 77. doi:https://doi.org/10.1016/j.qref.2019.10.005.
Bhuiyan， EM 和 Chowdhury， M. （2019）。宏观经济变量和股票市场指数：美国和加拿大的不对称动态。经济与金融季刊，[在线] 77. doi：https：//doi.org/10.1016/j.qref.2019.10.005.

Bodie, Z. (1976). Common Stocks as a Hedge Against Inflation. The Journal of Finance, [online] 31(2), pp.459–470. doi:https://doi.org/10.2307/2326617.
博迪，Z.（1976 年）。普通股作为对冲通货膨胀的工具。金融杂志，[在线] 31（2），第 459-470 页。doi：https：//doi.org/10.2307/2326617.

Chen, J., Jiang, F. and Tong, G. (2016). Economic Policy Uncertainty in China and Stock Market Expected Returns. SSRN Electronic Journal. doi:https://doi.org/10.2139/ssrn.2808862.
陈，J.，江，F.和Tong，G.（2016）。中国经济政策的不确定性和股市的预期回报。SSRN 电子期刊。doi：https：//doi.org/10.2139/ssrn.2808862.

Economic Policy Uncertainty (2023). Japan Monthly Index. [online] Policyuncertainty.com. Available at: https://www.policyuncertainty.com/japan_monthly.html.
经济政策不确定性 （2023）。 日本月度指数。[在线] Policyuncertainty.com。网址：https://www.policyuncertainty.com/japan_monthly.html。

Ehrmann, M., Fratzscher, M. and Rigobon, R. (2010). Stocks, bonds, money markets and exchange rates: measuring international financial transmission. Journal of Applied Econometrics, 26(6), pp.948–974. doi:https://doi.org/10.1002/jae.1173.
Ehrmann， M.， Fratzscher， M. 和 Rigobon， R. （2010）。股票、债券、货币市场和汇率：衡量国际金融传导。应用计量经济学杂志， 26（6）， pp.948–974。doi：https：//doi.org/10.1002/jae.1173.

Evgenidis, A. and Malliaris, A.G. (2022). Monetary policy, financial shocks and economic activity. Review of Quantitative Finance and Accounting. doi:https://doi.org/10.1007/s11156-022-01045-z.
Evgenidis， A. 和 Malliaris， AG （2022）。货币政策、金融冲击和经济活动。定量金融与会计评论。doi：https：//doi.org/10.1007/s11156-022-01045-z.

Fama, E.F. and Schwert, G.William. (1977). Asset Returns and Inflation. Journal of Financial Economics, [online] 5(2), pp.115–146. doi:https://doi.org/10.1016/0304-405x(77)90014-9.
Fama， EF 和 Schwert， G.William。（1977）. 资产回报和通货膨胀。金融经济学杂志，[在线] 5（2），第 115-146 页。doi：https：//doi.org/10.1016/0304-405x（77）90014-9。

Federal Reserve Bank of St. Louis (2024). FRED Economic Data. [online] Stlouisfed.org. Available at: https://fred.stlouisfed.org/.
圣路易斯联邦储备银行（2024 年）。 FRED 经济数据。[在线] Stlouisfed.org。网址：https://fred.stlouisfed.org/。

Ferrer, E., Salaber, J. and Zalewska, A. (2014). Consumer confidence indices and stock markets’ meltdowns. The European Journal of Finance, 22(3), pp.195–220. doi:https://doi.org/10.1080/1351847x.2014.963634.
费雷尔，E.，萨拉伯，J. 和 Zalewska，A.（2014 年）。消费者信心指数和股市崩盘。欧洲金融杂志，22（3），第 195-220 页。doi：https：//doi.org/10.1080/1351847x.2014.963634。

Forbes, K.J. and Rigobon, R. (2002). No Contagion, Only Interdependence: Measuring Stock Market Comovements. The Journal of Finance, [online] 57(5), pp.2223–2261. doi:https://doi.org/10.1111/0022-1082.00494.
福布斯，KJ 和 Rigobon，R.（2002 年）。没有传染，只有相互依存：衡量股市协同运动。金融杂志，[在线] 57（5），第 2223-2261 页。doi：https：//doi.org/10.1111/0022-1082.00494。

Fromentin, V. (2022). Time-varying causality between stock prices and macroeconomic fundamentals: Connection or disconnection? Finance Research Letters, 49, p.103073. doi:https://doi.org/10.1016/j.frl.2022.103073.
弗罗门汀，V.（2022 年）。股票价格与宏观经济基本面之间的时变因果关系：连接还是断开？金融研究快报， 49， p.103073. doi：https：//doi.org/10.1016/j.frl.2022.103073.

Gordon, M.J. and Shapiro, E. (1956). Capital Equipment Analysis: The Required Rate of Profit. Management Science, 3(1), pp.102–110. doi:https://doi.org/10.1287/mnsc.3.1.102.
戈登，MJ 和夏皮罗，E.（1956 年）。资本设备分析：所需的利润率。管理科学， 3（1）， pp.102–110. doi：https：//doi.org/10.1287/mnsc.3.1.102.

IJIRI, H. and MATSUBAYASHI, Y. (2019). QUANTITATIVE EASING POLICY, EXCHANGE RATES AND BUSINESS ACTIVITY BY INDUSTRY IN JAPAN FROM 2001 TO 2006. The Singapore Economic Review, pp.1–28. doi:https://doi.org/10.1142/s0217590819500139.
IJIRI， H. 和 MATSUBAYASHI， Y.（2019 年）。2001 年至 2006 年日本按行业划分的量化宽松政策、汇率和商业活动。 新加坡经济评论，第 1-28 页。doi：https：//doi.org/10.1142/s0217590819500139.

Investing.com (2024). US 10 Year Treasury Yield. [online] Investing.com. Available at: https://www.investing.com/rates-bonds/u.s.-10-year-bond-yield.
Investing.com （2024 年）。 美国 10 年期国债收益率。[在线] Investing.com。网址：https://www.investing.com/rates-bonds/u.s.-10-year-bond-yield。

Jin, X., Chen, Z. and Yang, X. (2019). Economic policy uncertainty and stock price crash risk. Accounting & Finance, 58(5), pp.1291–1318. doi:https://doi.org/10.1111/acfi.12455.
Jin， X.， Chen， Z. 和 Yang， X. （2019）。经济政策不确定性和股价崩盘风险。会计与金融，58（5），pp.1291–1318。doi：https：//doi.org/10.1111/acfi.12455。

John Maynard Keynes (1936). The General Theory of Employment, Interest, and Money. Cham Springer International Publishing Palgrave Macmillan.
约翰·梅纳德·凯恩斯 （1936）。 就业、利息和货币通论。Cham Springer 国际出版社，帕尔格雷夫·麦克米伦。

Kundu, S. and Paul, A. (2022). Effect of economic policy uncertainty on stock market return and volatility under heterogeneous market characteristics. International Review of Economics & Finance, [online] 80. doi:https://doi.org/10.1016/j.iref.2022.02.047.
Kundu， S. 和 Paul， A. （2022）。异质市场特征下经济政策不确定性对股市回报和波动性的影响。国际经济与金融评论，[在线] 80. doi：https：//doi.org/10.1016/j.iref.2022.02.047.

Lemmon, M. and Portniaguina, E. (2006). Consumer Confidence and Asset Prices: Some Empirical Evidence. Review of Financial Studies, 19(4), pp.1499–1529. doi:https://doi.org/10.1093/rfs/hhj038.
Lemmon， M. 和 Portniaguina， E. （2006）。消费者信心和资产价格：一些实证证据。金融研究评论，19（4），第 1499-1529 页。doi：https：//doi.org/10.1093/rfs/hhj038。

Markowitz, H. (1952). Portfolio selection. The Journal of Finance, 7(1), pp.77–91.
马科维茨，H.（1952 年）。投资组合选择。金融杂志， 7（1），第 77-91 页。

Modigliani, F. and Cohn, R.A. (1979). Inflation, Rational Valuation and the Market. Financial Analysts Journal, 35(2), pp.24–44. doi:https://doi.org/10.2469/faj.v35.n2.24.
莫迪利亚尼，F. 和 Cohn，RA（1979 年）。通货膨胀、理性估值和市场。金融分析师杂志，35（2），第 24-44 页。doi：https：//doi.org/10.2469/faj.v35.n2.24。

Nandy, S. and Chattopadhyay, A.Kr. (2019). ‘Indian Stock Market Volatility’: A Study of Inter-linkages and Spillover Effects. Journal of Emerging Market Finance, 18(2_suppl), pp.S183–S212. doi:https://doi.org/10.1177/0972652719846321.
Nandy， S. 和 Chattopadhyay， A.Kr. （2019）。“印度股市波动性”：相互联系和溢出效应的研究。新兴市场金融杂志 （Journal of Emerging Market Finance），第 18 卷第 2_suppl 期，第 1 页。S183–S212 中。doi：https：//doi.org/10.1177/0972652719846321.

Nowzohour, L. and Stracca, L. (2020). MORE THAN A FEELING: CONFIDENCE, UNCERTAINTY, AND MACROECONOMIC FLUCTUATIONS. Journal of Economic Surveys, 34(4), pp.691–726. doi:https://doi.org/10.1111/joes.12354.
Nowzohour， L. 和 Stracca， L. （2020）。不仅仅是一种感觉：信心、不确定性和宏观经济波动。经济调查杂志，34（4），第 691-726 页。doi：https：//doi.org/10.1111/joes.12354。

Office for National Statistics (2024). Unemployment Rate (aged 16 and over, Seasonally adjusted) - Office for National Statistics. [online] ons.gov.uk. Available at: https://www.ons.gov.uk/employmentandlabourmarket/peoplenotinwork/unemployment/timeseries/mgsx/lms.
国家统计局 （2024）。 失业率（16 岁及以上，经季节性调整） - 国家统计局。[在线] ons.gov.uk。网址：https://www.ons.gov.uk/employmentandlabourmarket/peoplenotinwork/unemployment/timeseries/mgsx/lms。

Olokoyo, F.O., Ibhagui, O.W. and Babajide, A. (2020). Macroeconomic indicators and capital market performance: Are the links sustainable? Cogent Business & Management, 7(1). doi:https://doi.org/10.1080/23311975.2020.1792258.
Olokoyo， FO， Ibhagui， O.W. 和 Babajide， A. （2020）。宏观经济指标和资本市场表现：这些联系是否可持续？Cogent 商业与管理，7（1）. doi：https：//doi.org/10.1080/23311975.2020.1792258.

Öner, S., Öner, H. and Kılıç Satıcı, H. (2022). Spillover Effects of Stock Markets in the COVID-19 Pandemic Period: Evidence From Central and East European Countries. Istanbul Journal of Economics / İstanbul İktisat Dergisi, 0(0). doi:https://doi.org/10.26650/istjecon2021-994570.
Öner， S.， Öner， H. 和 Kılıç Satıcı， H. （2022）。COVID-19 大流行期间股市的溢出效应：来自中欧和东欧国家的证据。伊斯坦布尔经济杂志 / İstanbul İktisat Dergisi， 0（0）. doi：https：//doi.org/10.26650/istjecon2021-994570.

Oricchio, G. (2012). The Efficient-market Hypothesis (EMH) and Financial Crisis. Corporate Management in a Knowledge-Based Economy, pp.155–168. doi:https://doi.org/10.1057/9780230355453_7.
奥里奇奥，G.（2012 年）。有效市场假说 （EMH） 和金融危机。知识型经济中的企业管理，第 155-168 页。doi：https：//doi.org/10.1057/9780230355453_7。

Salisu, A.A., Raheem, I.D. and Ndako, U.B. (2020). The inflation hedging properties of gold, stocks and real estate: A comparative analysis. Resources Policy, 66, p.101605. doi:https://doi.org/10.1016/j.resourpol.2020.101605.
Salisu， AA， Raheem， ID和Ndako， U.B. （2020）。黄金、股票和房地产的通胀对冲特性：比较分析。资源政策，66，第 101605 页。doi：https：//doi.org/10.1016/j.resourpol.2020.101605。

Statistics of Japan (2024). Portal Site of Official Statistics of Japan. [online] Portal Site of Official Statistics of Japan. Available at: https://www.e-stat.go.jp/en.
日本统计局（2024 年）。 日本官方统计门户网站。[在线]日本官方统计门户网站。网址：https://www.e-stat.go.jp/en。

Tiwari, A.K., Abakah, E.J.A., Bonsu, C.O., Karikari, N.K. and Hammoudeh, S. (2022). The effects of public sentiments and feelings on stock market behavior: Evidence from Australia. Journal of Economic Behavior & Organization, [online] 193, pp.443–472. doi:https://doi.org/10.1016/j.jebo.2021.11.026.
Tiwari， AK， Abakah， EYE ， Bonsu， CO， Karikari， NK 和 Hammoudeh， S. （2022）。公众情绪和感受对股市行为的影响：来自澳大利亚的证据。经济行为与组织杂志，[在线] 193，第 443-472 页。doi：https：//doi.org/10.1016/j.jebo.2021.11.026.

Woo, K.-Y., Mai, C., McAleer, M. and Wong, W.-K. (2020). Review on Efficiency and Anomalies in Stock Markets. Economies, [online] 8(1), p.20. doi:https://doi.org/10.3390/economies8010020.
Woo， K.-Y.， Mai， C.， McAleer， M. 和 Wong， W.-K.（2020）. 股票市场效率和异常回顾.经济，[在线] 8（1），第 20 页。doi：https：//doi.org/10.3390/economies8010020.

Wooldridge, J.M. (2016). Introductory econometrics : a modern approach. 6th ed. Boston: Cengage Learning, Cop.
伍尔德里奇，JM（2016 年）。 计量经济学入门：一种现代方法。第 6 版波士顿：Cengage Learning，Cop.