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Author: Haryadi Haryadi Publisher: ISBN: Category : Languages : en Pages : 29
Book Description
We examine the extent to which equity market returns volatility is affected by major macroeconomic announcements in an emerging market, Indonesia, using high-frequency data and a rolling observation model. We find different patterns of intraday volatility when we decompose the volatility on a monthly, daily, and subsample period basis. Furthermore, while we find that most domestic macroeconomic announcements impact on the volatility, contrary to the literature, we find no evidence of impact from the US macroeconomic announcements. We also find the 2008 global financial crisis significantly influences the impact of macroeconomic announcements on the volatility of Indonesian equity market returns.
Author: Haryadi Haryadi Publisher: ISBN: Category : Languages : en Pages : 29
Book Description
We examine the extent to which equity market returns volatility is affected by major macroeconomic announcements in an emerging market, Indonesia, using high-frequency data and a rolling observation model. We find different patterns of intraday volatility when we decompose the volatility on a monthly, daily, and subsample period basis. Furthermore, while we find that most domestic macroeconomic announcements impact on the volatility, contrary to the literature, we find no evidence of impact from the US macroeconomic announcements. We also find the 2008 global financial crisis significantly influences the impact of macroeconomic announcements on the volatility of Indonesian equity market returns.
Author: Mansour Alharaib Publisher: ISBN: Category : Capital movements Languages : en Pages : 340
Book Description
This study examines how stock market returns and volatility responses to macroeconomic news announcements in US and Europe, and oil prices. Moreover, the market risk associated with these stock markets based on selected countries and regions is also analyzed here. In all chapters, the data is in a weekly time horizon and it covers 21 countries from different contents. In particular, Data covers three different time periods, i.e. full sample from 1/1/2000 to 12/31/2015, before the financial crisis, i.e. from 1/1/2000 to 9/27/2008 and after the financial crisis, i.e. from 10/11/2008 to 12/31/2015. Chapter 2 studies the impact of macroeconomic news announcements on stock markets in 21 countries using US and European countries macroeconomic news announcements. The first part investigates the impact of macroeconomic news announcements surprises in US and European Countries on stock markets returns in these countries. The second part analyzes the impact of macroeconomic news announcements in US and European Countries on stock markets volatility in these countries. Our results show that stock markets in selected countries react differently to macroeconomic news announcement in US and Europe. Chapter 3 study the interaction and volatility spillover between oil prices and stock markets returns and volatility in selected countries and regions. Oil prices are based on West Texas Intermediate (WTI). The analysis use VAR(1)-GARCH(1,1) model to capture the interdependence between stocks market and oil prices. The findings show that there is interdependence between stock markets and oil price changes in most selected countries and regions. Chapter 4 study the market risk in stock markets returns in selected countries and regions using IGARCH(1,1) and GARCH(1,1) to obtain the value at risk (VaR) and the expected shortfall (ES). The findings of chapter 4 show that market risk was high for most selected countries before the financial crisis and low after the financial crisis.
Author: Zuliu Hu Publisher: International Monetary Fund ISBN: 1451850174 Category : Business & Economics Languages : en Pages : 30
Book Description
Is the stock market responsive to macroeconomic news? This paper employs the daily returns of the Dow Jones Industrial Index, the S&P 500 index, the Russell 1000 index, and the Russell 2000 index to examine stock market reactions to a broad list of macroeconomic announcements, including money supply, inflation, employment, housing starts, and trade balances, etc. Several announcements concerning real economic activity that have received little attention in previous research are shown to have a significant impact on stock prices. The paper also presents preliminary evidence for the different reaction to macroeconomic news by small cap stocks and large cap stocks.
Author: Tobias Rühl Publisher: ISBN: Category : Languages : en Pages : 32
Book Description
In this study, we analyze the effects of US macroeconomic announcements on European stock returns, return volatility and bid-ask spreads using intraday data. While an index-based analysis provides expected outcomes of differing importance of macro-economic announcements, we provide first evidence on stock-specific reactions. The study further contributes by disentangling stock-specific impacts from overall market reactions. A spread analysis reveals that return volatility affects the spread size positively, and that spreads are systematically higher directly after news releases. This is followed by structurally lower spreads, indicating quickly decreasing asymmetric information in the market after announcements. Additionally, spreads tend to react to announcements even if the returns or the volatility of the underlying stock is not significantly affected. This points at the importance of the analysis of news events beyond return and volatility analyses.
Author: Garrett T. DeSimone Publisher: ISBN: 9780355466355 Category : Languages : en Pages : 108
Book Description
This dissertation presents two empirical studies on equity option behavior around scheduled macroeconomic announcements. In the rst essay, I analyze the predic- tive power of implied volatilities of S&P 500 options for underlying index returns on macroeconomic news days. I design a measure of uncertainty based on economist fore- cast dispersion. During high uncertainty announcements, the steepness of the implied volatility function strongly predicts negative next day returns on the S&P 500, im- plying that buying pressure on out-of-the-money puts precedes bad economic news. Firm-level implied volatilities for cyclical and high beta stocks also exhibit this be- havior, indicating that options traders can predict the impact of announcements on individual stock returns. My ndings are consistent with the notion that informed options traders can anticipate and capitalize on the upcoming macroeconomic news. ☐ In the second essay, delta-neutral straddles have high returns when realized volatility is higher than expected, or when price jumps occur. This makes a straddle an eective proxy for studying variance and jump risk. In my second essay, I analyze returns on S&P 500 delta-neutral straddles to obtain the size and sign of the vari- ance and jump risk premiums on macroeconomic announcement days. Announcement day returns comprise over 77% of the total negative annualized returns on straddles, implying a vastly larger premium for insuring against changes in volatility and jumps around systematically released market news. In particular, on days when the Consumer Price Index, Non-Farm Payrolls, Industrial Manufacturing, and Industrial Production are announced, average returns are strongly negative ranging from -1.3% to -2.5%. In comparison, non-announcement days have average straddle returns of -0.1%, indicating that insurance for volatility and jumps resulting from random economic news shocks can essentially be obtained for free. However, straddles earn highly positive returns during Federal Open Market Committee (FOMC) meetings. This pattern of high re- turns to straddles is consistent with investor anticipation of sharp decreases in realized volatility as result of government put protection. High average returns compensate investors on FOMC days for bearing risks associated with stabilizing interventions.
Author: Zuliu Hu Publisher: International Monetary Fund ISBN: 1451852584 Category : Business & Economics Languages : en Pages : 26
Book Description
Despite concerns are often voiced on the so called “excess volatility” of the stock market, little is known about the implications of market volatility for the real economy. This paper examines whether the stock market volatility affects real fixed investment. The empirical evidence obtained from the US data shows that market volatility has independent effects on investment over and above that of stock returns. Volatility and its changes are negatively related to investment growth. To the extent volatility depresses fixed capital formation and hence future income growth, the results suggest the desirability of reducing stock market volatility.
Author: Peter de Goeij Publisher: ISBN: Category : Languages : en Pages : 46
Book Description
In this paper we study the impact of macroeconomic news announcements on the conditional volatility of stock and bond returns. Using daily returns on the Samp;P 500 index, the NASDAQ index, and the 1 and 10 year U.S. Treasury bonds, for January 1982 - August 2001, some interesting results emerge. Announcement shocks appear to have a strong impact on the (dynamics of) bond and stock market volatility. Our results provide empirical evidence thatasymmetric volatility in the Treasury bond market can be largely explained by these macroeconomic announcement shocks. This suggests that the asymmetric volatility found in government bond markets are likely due to misspecification of the volatility model. After including macroeconomic announcements into the model, the asymmetry disappears. Becausefirm-specific news is the most important source of information in the stock market, the asymmetries in stock volatility do not disappear after incorporating macroeconomic announcements into the volatility model.
Author: Haryadi Haryadi
Author: Haryadi Haryadi
Author: Mansour Alharaib
Author: Zuliu Hu
Author: Tobias R. Rühl
Author: Tobias Rühl
Author: Garrett T. DeSimone
Author: Zuliu Hu
Author: Peter de Goeij
Author: Jose Gonzalo Rangel
Author: Peter De Goeij