Vatsa, PuneetBasnet, HMixon Jr., FGUpadhyaya, K2024-08-042024-07-112024-07-112024-06-101083-0898D2G4Q (isidoc)https://hdl.handle.net/10182/17387There is a consensus that stock markets are procyclical. However, answers to some important questions remain unclear. Do stock markets lead or lag business cycles? More interestingly, what is the duration with which they lead or lag them? This study uses different time-series filters and time-difference analysis to answer these questions by examining the dynamic interactions between three major stock indices and key macroeconomic indicators in the United States. The findings show that stock markets have been strongly procyclical, lagging industrial production by one to three months in recent decades. There have been noteworthy changes in the relationship between inflation and stock market cycles. The correlations changed from negative in the 1980s and 1990s to positive in the 2000s and 2010s. The results also reveal close associations between the stock indices, offering new insights into the interplay between financial markets and economic cycles.24 pagesen© The Author(s) 2024Hamilton filtertime-difference analysisstock-market indicesindustrial productionemploymentinflationU.S. economyJournal Article10.1007/s11294-024-09901-51573-966XANZSRC::350207 International financeANZSRC::380110 International economicsANZSRC::380107 Financial economicsANZSRC::380112 Macroeconomics (incl. monetary and fiscal theory)ANZSRC::3801 Applied economicsANZSRC::3802 EconometricsANZSRC::3803 Economic theoryhttps://creativecommons.org/licenses/by/4.0/Attribution