Global stock market reactions to scheduled U.S. macroeconomic news announcements

Nikkinen, Jussi; Omran, Mohammed; Sahlström, Petri; Äijö, Janne

doi:10.1016/j.gfj.2006.06.003

Cited by 108 publications

(75 citation statements)

References 46 publications

(67 reference statements)

Supporting

Mentioning

Contrasting

Unclassified

Order By: Relevance

“…Consequently, other developed equity markets could be expected to undergo adjustments after U.S. monetary policy communications. For example, Nikkinen et al (2006) demonstrate that European and Asian countries are closely integrated with respect to U.S. macroeconomic news.…”

Section: Introductionmentioning

confidence: 99%

The impact of U.S. central bank communication on European and pacific equity markets

2010

View full text Add to dashboard Cite

Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Terms of use: Documents in JEL:E52, G14, G15

show abstract

Section: Introductionmentioning

confidence: 99%

The impact of U.S. central bank communication on European and pacific equity markets

2010

View full text Add to dashboard Cite

show abstract

“…In addition, domestic macroeconomic data does not influence either of the markets. Nikkinen et al (2006) demonstrated that announcements of some U.S. macroeconomic news are the sources of a rise in volatility on developed European stock markets. However, the reaction of CEE economies in transition (including the Czech Republic, Hungary, Poland, Russia, and Slovakia) seems to be negligible.…”

Section: Links Between Financial Variables On Stock Marketsmentioning

confidence: 99%

“…However, the reaction of CEE economies in transition (including the Czech Republic, Hungary, Poland, Russia, and Slovakia) seems to be negligible. Nikkinen et al (2006) suggested the possibility of significant differences in the reaction to U.S. macroeconomic news between developed and emerging markets in Europe. Singh et al (2013) found that U.S. macroeconomic news has a more-frequent effect on volatility than on returns on European developed markets.…”

Section: Links Between Financial Variables On Stock Marketsmentioning

confidence: 99%

Price duration versus trading volume in high-frequency data for selected DAX companies

Gurgul¹,

Syrek²,

Mitterer³

2016

manage

View full text Add to dashboard Cite

“…However, mostly macroeconomic surprises seem to have a significant impact only on the conditional volatility, and not on the asset returns. Nikkinen et al (2006) studied global stock market integration with respect to surprises of the U.S. macroeconomic news announcements. The results of the research supported the earlier findings (Bekaert and Harvey, 1995;and Rockinger and Urga, 2001) in that market integration seems to be higher among the major stock markets of Europe and Asia with respect to the U.S. macroeconomic news announcements and their surprises, whereas some emerging markets would seem to be more segmented.…”

Section: Introductionmentioning

confidence: 99%

“…However, some segmented regions in the world economy will exist (e.g. Turkey and some smaller Asian economies) that exhibit more dependence on the local and the regional news and their surprises, than on global news (Nikkinen et al, 2006;Hanousek et al, 2009;Önder and Simga-Mugan, 2006;and Nowak et al, 2011).…”

Section: Introductionmentioning

confidence: 99%

Surprise Effect of Euro Area Macroeconomic Announcements on CIVETS Stock Markets

Wallenius¹,

Fedorova²,

Ahmed³

et al. 2017

Prague Economic Papers

View full text Add to dashboard Cite

The macroeconomic announcements and their effects on stock markets are considered to be a measure of stock market integration. Earlier studies show that integrated stock markets exhibit immediate reaction to international macroeconomic news, whereas partially integrated or segmented markets mostly do not react to such announcements. This paper investigates the effect of surprises disguised in the macroeconomic announcements made by the European Monetary Union on CIVETS (Colombia, Indonesia, Vietnam, Egypt, Turkey, and South Africa) stock markets. Daily stock market data starting from January 1, 2007 to December 31, 2012 is analysed. The impact of macroeconomic announcements is estimated by using EGARCH model. The results show that the returns of four out of six CIVETS stock markets significantly react on the day of macroeconomic announcements, whereas the market volatility of all markets is affected due to the EMU's announcements. The results also show that not all types of announcements have significant impact on returns and volatilities in CIVETS, highlighting the importance of the contents of macroeconomic surprises.

show abstract

Global stock market reactions to scheduled U.S. macroeconomic news announcements

Cited by 108 publications

References 46 publications

The impact of U.S. central bank communication on European and pacific equity markets

The impact of U.S. central bank communication on European and pacific equity markets

Price duration versus trading volume in high-frequency data for selected DAX companies

Surprise Effect of Euro Area Macroeconomic Announcements on CIVETS Stock Markets

Contact Info

Product

Resources

About