1. Average weekly working hours of manufacturing workers or non-management personnel.
2. Average number of people applying for unemployment insurance for the first time every week.
3. New orders for consumer goods and raw materials.
4. The proportion of delayed delivery by the seller to the company. -Delivery diffusion index is slow.
5. New orders from non-defense heavy industry manufacturers
6. The number of private houses approved by local authorities (rather than actually breaking ground).
7. 10-year treasury bond interest rate minus the federal funds interest rate.
8. Stock price index. 500 kinds of common stock
9. Money supply (M2)
10. Changes in the credit status of enterprises and consumers. In the economic cycle, there is a time series between the changes of some economic variables and the changes of economic prosperity. If this order is revealed quantitatively, it can be used for economic forecasting. The so-called leading indicators mean that the peaks and troughs of these indicators always appear before the peaks and troughs of the overall economy, and these indicators can be used to predict the economic operation trend. As an economic indicator, GDP growth rate can reflect the economic operation at the same time. If we can predict the GDP growth index in advance, we can have a macro understanding of the future operation of the whole economy, and combine the macro with the foundation, which can be of great guiding significance to capital market investment.
Internationally, the research on leading economic indicators has long existed. In the 1920s, Harvard Business School developed the Harvard Prosperity Index to predict the trend of economic operation. From 65438 to 0950, NBER developed a boom monitoring system consisting of leading indicators, synchronous indicators and lagging indicators. From 196 1, the monitoring of macro-economic prosperity has moved from folk research to official application, and its influence has been expanding. In particular, the Leading Economic Index (LEI) released by the United States Conference Board has become a barometer to judge the economic situation of the United States and the world. The leading economic index is a comprehensive index of leading indicators, which is compiled according to the following leading indicators: (1) weekly average manufacturing time; (2) weekly average unemployment insurance application; (3) New orders from manufacturers (consumer goods and raw materials); (4) the performance of the seller; (5) New orders from manufacturers (excluding capital goods of national defense facilities); (six) the new housing permit; (7) The price of 500 common shares; (8) Money supply m2; (9) 10-year treasury bill rate and the difference between the federal funds interest rates; (10) consumer expectation index. If most of these factors are positive, the leading index can be expected to rise ahead of schedule.
In addition, the OECD (Organization for Economic Cooperation and Development) has also formulated the Comprehensive Leading Index (CLI) to monitor the economic trends of various countries. Main indicators include: (1) overtime hours; (2) Stock price index; (3) new orders; (4) raw material price index; (5) Industrial and commercial expectation index; (6) Housing starts.
Figure 1 shows the year-on-year growth rate of US GDP (constant price in 2000), the year-on-year growth rate of US CLI compiled by OECD and the year-on-year growth rate of US Conference Board since 1956. For the OECD CLI, we choose the comprehensive leading index including trend elements and trend recovery, and for Lei, we also choose the trend data (2004 = 650).
After calculation, the correlation coefficients of thunder, CLI and GDP are 0.987 and 0.994 respectively, but this does not explain their forerunners. Granger causality test is mainly to see to what extent the present Y can be explained by the past X, and whether the lag value of X can improve the explanation. If X is helpful to the prediction of Y, it means "X can guide Y through Ganger". It examines the order and information content, rather than a certain cause relationship in the general sense. We do Granger causality test for the growth rates of Ray, CLI and GDP respectively, and choose the lag period as 4. The results show that CLI is significantly ahead of GDP growth rate, and GDP growth rate has no guiding effect on CLI growth rate, with a confidence of 99%, while there is a two-way guiding relationship between GDP and Lei, with a confidence of 99%. The above test shows that CLI is a more effective economic leading indicator.
It is worth noting that since the GDP of the United States is published quarterly and the leading indicators of the economy are published monthly, the above analysis is also based on quarterly data. In addition, the indicators of the current month are generally released next month, and the publishing institutions will often modify them, but this does not hinder their role in predicting economic trends. The periodic fluctuation of the stock market price level is the result of the alternation of various stages of the economic operation cycle. Generally speaking, when the economy is depressed, the stock market price level will also fall or be in a weak state; When the economy recovers or rises, the stock market price level will rise or show a firm trend. The stock market is usually the leading indicator of the economic cycle. Because the change of stock price is the result of many investors' buying and selling behaviors, although the buying and selling of individual investors are often random, most investors still make rational decisions based on the expectation of future economic trends.
What is tested here is whether some leading indicators in the economic leading indicators are the performance of leading stock indexes. Using the monthly data from 1959 to 2008, we conducted a preliminary test on the new orders of M2, new housing starts, building permits and PMI published by ISM and S&P 500 respectively. According to the year-on-year growth of each index, we can judge whether it can lead the Standard & Poor's 500 to a low point or a high point. In addition, we also tested the causal relationship between the indicators and the Standard & Poor's 500. The results are shown in table 1. It can be seen that when the index leads to a high point, the new house starts best, but less than half of it is correct. The PMI new order index performs best when the lead is low, but it does not reach half of the correct rate. It is worth noting that the leading role of M2 has been strengthened since 1983, and it took the lead for 9 times during the high point of 15. In the past six times, it has led the Standard & Poor's 500 Index for six consecutive months. However, since 1990, M2 has only led the S&P 500 index down 1 time. In the causality test, no indicator can guide the S&P 500 index. On the contrary, the S&P 500 index can guide all indicators. This shows that the leading indicators of the economy cannot guide the stock index.
Table 1 Leading Indicators and Standard & Poor's 500 Index Leading Test Indicators High Leading Times/Total Times Low Leading Times/Total Times Does this indicator guide the Standard & Poor's 500 Index Whether it guides the Standard & Poor's 500 Index M2 9/23 7/20 No new housing starts 12/25 8/ 2 1 No: Construction Permit/KLOC-
The reason is that the United States has a developed capital market, especially rich derivatives, and all kinds of investors are more rational and more in line with the "efficient market". In addition, the developed research institutions in the United States, especially the study of various economic data, largely make the market digested by economic indicators in advance. (1)VIX index
VIX index, namely volatility index, is compiled by CBOT and calculated by using the weighted average of implied volatility of S&P 500 index options. If the implied volatility is high, the VIX index is high. The index reflects how much investors are willing to pay to hedge investment risks, so it is widely used to reflect the degree of investors' panic about the market outlook, also known as the "panic index". Generally speaking, when VIX is below 20 points, it means that investors are optimistic about the market prospects and are unwilling to hedge their investments. On the contrary, when VIX is higher than 20, it reflects that investors lack confidence in the market outlook. After the launch of VIX, it has become one of the main bases for global investors to evaluate the risk of American stock market.
According to statistics, among the 367 high-point signals given by VIX, VIX index is ahead of S&P 500 index 133 times and behind S&P 500 index 59 times. Both of them see the top 104 times at the same time, and the S&P 500 index has no response before and after 7 1 time. Among the 133 times leading the Standard & Poor's 500 Index, the times leading 1 day, 2 days and 3 days were 5 1 time, 2 1 time and 20 times respectively. Of the 372 low-point signals given by VIX, the VIX index was ahead of the Standard & Poor's 500 for 78 times, behind the Standard & Poor's 500 for 40 times, and 172 times both bottomed out at the same time, and there was no response before and after the Standard & Poor's 500 for 82 times. Among the 78 times leading the Standard & Poor's 500 Index, the times leading 1 day, 2 days and 3 days were 19 times, 28 times and 14 times respectively. The above statistical results show that the VIX index, as the leading indicator of the Standard & Poor's 500 Index, has strong effectiveness, especially when predicting the high point of the index, the correct probability is greater. As an emotional indicator, VIX index sometimes changes with the change of stock index, and then lags behind the S&P 500 index.
(2)Sentix investor confidence index
According to Sentix investor confidence index, it reached a new high of 33.3 in June 5438+ 10, 2003. During the same period, the stock index rose all the way and hit a new high in March 2004. After that, it fell back from the high point, fluctuated between 0 and 22, and slowly climbed in the same period. From August 2006 to August 2007, the fluctuation range of the index moved down to. In the same period, the stock index continued to hit a new high anyway. In September 2007, the index hit a new low of-15.7, but despite some rebound, the overall trend is still downward. In February 2008, it hit a record low of -53.9, and the stock index dropped sharply from a high level in the same period. Because this indicator has not been released for a long time, we have recently seen it gradually mature, and we can continue to pay attention to the confidence index in the later period. If it rebounds from the low level to above -30, it may be necessary to pay attention to whether the US stock market will stabilize and rebound.