Macroeconomic News Effects on the Stock Markets in Intraday Data PDF Download

Author: Barbara Bedowska-Sojka
Publisher:
ISBN:
Category :
Languages : en
Pages :

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Book Description
The aim of the paper is to compare reactions of two stock markets, the German and the French, to releases of macroeconomic fundamentals emanating from Germany and the U.S. We examine the reaction of intraday returns and volatility of the CAC40 and the DAX indices to macroeconomic surprises. We find that both American and German macroeconomic releases cause an immediate response in returns and volatility of the German and the French stock market sampled at a five-minute frequency. The reaction to the American macroeconomic surprises is stronger than to the German ones.

Author: Zuliu Hu
Publisher: International Monetary Fund
ISBN: 1451850174
Category : Business & Economics
Languages : en
Pages : 30

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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 R. Rühl
Publisher:
ISBN: 9783867885744
Category :
Languages : en
Pages : 38

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Book Description

Author: Deniz Ozenbas
Publisher: Springer Nature
ISBN: 3030748170
Category : Business enterprises
Languages : en
Pages : 111

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Book Description
This open access book addresses four standard business school subjects: microeconomics, macroeconomics, finance and information systems as they relate to trading, liquidity, and market structure. It provides a detailed examination of the impact of trading costs and other impediments of trading that the authors call rictions It also presents an interactive simulation model of equity market trading, TraderEx, that enables students to implement trading decisions in different market scenarios and structures. Addressing these topics shines a bright light on how a real-world financial market operates, and the simulation provides students with an experiential learning opportunity that is informative and fun. Each of the chapters is designed so that it can be used as a stand-alone module in an existing economics, finance, or information science course. Instructor resources such as discussion questions, Powerpoint slides and TraderEx exercises are available online.

Author: Norbert Funke
Publisher: International Monetary Fund
ISBN:
Category : Business & Economics
Languages : en
Pages : 38

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Book Description
Using daily data for the January 1997 to June 2002 period, we analyze the impact of a broad set of macroeconomic news on stock prices in the United States and Germany. With GARCH specifications we test five hypotheses and find that news on real economic activity has a significant impact on stock prices. The effects vary between different types of stocks and depend on the state of the economy. In a boom period, bad economic news may be good news for stock prices. For German stock prices, international news is at least as important as domestic news. The analysis of bihourly data suggests that the main effect occurs within a short period of time.

Author: Christoph E. Boehm
Publisher:
ISBN:
Category :
Languages : en
Pages : 0

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Book Description
We provide evidence for a causal link between the US economy and the global financial cycle. Using intraday data, we show that US macroeconomic news releases have large and significant effects on global risky asset prices. Stock price indexes of 27 countries, the VIX, and commodity prices all jump instantaneously upon news releases. The responses of stock indexes co-move across countries and are large--often comparable in size to the response of the S&P 500. Further, US macroeconomic news explains on average 23 percent of the quarterly variation in foreign stock markets. The joint behavior of stock prices, bond yields, and risk premia suggests that systematic US monetary policy reactions to news do not drive the estimated effects. Instead, the evidence points to a direct effect on investors' risk-taking capacity. Our findings show that a byproduct of the United States' central position in the global financial system is that news about its business cycle has large effects on global financial conditions.

Author: Calum Stewart Robertson
Publisher:
ISBN:
Category :
Languages : en
Pages : 27

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Book Description
The efficient market hypothesis states that an efficient market incorporates all available information to provide an accurate valuation of an asset at any given time. Most trading models rely only on numerical information such as return, volatility, and volume to forecast the value of an asset. However, the market is also influenced by the occurrence of textual information in the form of analyst recommendations, annual reports, macroeconomic news, and press announcements. A plethora of research has analysed how markets react to macroeconomic news both intraday and in the longer term. However, asset specific news is far more common than macroeconomic news and little research has evaluated the intraday market reaction to this type of news. In this paper we analyse how assets on the US, UK and Australian stock markets react after news deemed relevant by the Bloomberg Professionalreg; service has been released. To our knowledge this is the most comprehensive evaluation of the intraday effect of asset specific news on the stock market. We find strong evidence that these markets react quickly and decisively to asset specific news throughout the day. We also find evidence of intraday seasonality's in these markets, which effect the markets reaction to news.

Author: Tobias Rühl
Publisher:
ISBN:
Category :
Languages : en
Pages : 32

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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: Bea Canto
Publisher:
ISBN:
Category :
Languages : en
Pages :

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Book Description

Author: Norbert Funke
Publisher:
ISBN:
Category :
Languages : en
Pages : 31

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Book Description
Using daily data for the January 1997 to June 2002 period, we analyze the impact of a broad set of macroeconomic news on stock prices in the United States and Germany. With GARCH specifications we test five hypotheses and find that news on real economic activity has a significant impact on stock prices. The effects vary between different types of stocks and depend on the state of the economy. In a boom period, bad economic news may be good news for stock prices, For German stock prices, international news is at least as important as domestic news. The analysis of bihouriy data suggests that the main effect occurs within a short period of time.