Macroeconomic news and market reaction: Surprise indexes meet nowcasting

Caruso, Alberto

doi:10.1016/j.ijforecast.2018.12.005

Cited by 11 publications

(6 citation statements)

References 39 publications

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“…Several studies analyse the impact of news on stock markets (Lyócsa, Molnár, and Plíhal 2019;Caruso 2019). The consensus is that stock markets tend to adjust prices to news continuously.…”

Section: Introductionmentioning

confidence: 99%

COVID-19 pandemic news and stock market reaction during the onset of the crisis: evidence from high-frequency data

Ambros

Frenkel

Huynh

et al. 2020

Applied Economics Letters

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Using 30-minute tick returns, we examine the impact of changes in the number of COVID-19 news on eight different stock markets during the initial two months of the coronavirus crisis 2020. We do not find evidence that stock returns are sensitive to the changes in the number of COVID-19 news. However, there is strong evidence that changes in COVID-19 news increase stock market volatility in European markets. The findings also suggest that a substantial part of market uncertainty can be explained by changes in the number of COVID-19 news. Our results are also robust to changes in the time intervals.

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Section: Introductionmentioning

confidence: 99%

COVID-19 pandemic news and stock market reaction during the onset of the crisis: evidence from high-frequency data

Ambros

Frenkel

Huynh

et al. 2020

Applied Economics Letters

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“…The economy, whether regional, national or international, is subject to variability resulting from many macro-and microeconomic factors (Caruso, 2019;Chen and Hung, 2010;Makin, 2019). Modeling of time-frequency variability by examining the direction and magnitude of the impact of these factors is feasible as a result of the application of a variety of techniques of econometric analysis (Borjigin et al, 2018;Chen and Ranciere, 2019;Ghoddusi et al, 2019;Liu et al, 2019).…”

Section: Introductionmentioning

confidence: 99%

Comparison on Subannual Seasonality of Building Construction in European Countries

Mach¹,

Zmarzły²,

Dąbrowski³

et al. 2020

ERSJ

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Purpose: The objective of this study involves the determination of cyclical characteristics that occur on the European construction market. Design/Methodology/Approach: In the research implementation process, time-frequency analysis was used to identify and analyze cyclicalities in the construction market. Findings: The results clearly demonstrate the absence of a homogeneous construction market in the investigated countries. The diversity of the European construction market is revealed by the various responses to the periods corresponding to the ups and downs of the economy. Practical Implications: The present research provides grounds for the clear indication of specific countries and cyclical characteristics on the construction market in them to define guidelines suitable for the identification of adequate scenarios for the development of construction markets in them. Originality/value: The conclusion derived from the study is associated with the classification of construction markets and identification of various responses of individual markets to the occurrence of macroeconomic or microeconomic stimuli.

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“…Inflation variable theoretically has a negative effect on stock prices which is confirmed by many researchers (Camilleri et al, 2019;Megaravalli & Sampagnaro, 2018;Singhal et al, 2019). However, several other researchers have different conclusions (Ali et al, 2018;Caruso, 2018;Chang et al, 2019;Mohamed & Ahmed, 2018;Shmueli & Koppius, 2010;Wu et al, 2018).…”

Section: Introductionmentioning

confidence: 85%

“…However, some researchers conclude differently (Chang et al, 2019;Singhal et al, 2019). An increase in the trade balance will have an impact on strengthening stock prices (Caruso, 2018;Demir, 2019), on the other hand, Wu, et.al (2018), and Ali (2018) have different conclusions. Similarly, the interest rate variables, Wu, et.al.…”

Section: Introductionmentioning

confidence: 99%

Data Driven Perspective on Stock Price - Macroeconomic Variables: Indonesia Economy 2016-2020

Nusantara

Nawatmi

Santosa

2022

mem

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<p align="center"><strong>Abstract</strong></p>The use of a theory-driven perspective is very common, especially in economics research, and even becomes an inevitable approach. Problems arise when data, as a form of reality, does not synergize with theory. The resulting conclusion is very likely to be different from the theoretical statement. One method that refers to data-driven is the Vector Auto-Regressive (VAR) model, which puts all the variables involved in a position as endogenous variables. This study seeks to identify a statistically more accurate relationship in the relationship between variables, stock prices, consumer price index, Jakarta Inter-Bank Over rate, exchange rate, and Net Balance Trade. Observations were made from January 2016 to December 2020. This study found evidence that there is a recursive relationship between stock price variables and macroeconomic variables. The VAR model identifies the Net Balance Trade variable as an endogenous variable in 3 types of sectoral stocks and only manufacturing sector stocks that resemble it. These results have two theoretical consequences: first, setting stock prices without differentiating sectors carries the risk of generalization errors. Second, setting stock prices as the endogenous variable means assuming that the market is perfect, and efficient and market participants have rational behavior.

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Macroeconomic news and market reaction: Surprise indexes meet nowcasting

Cited by 11 publications

References 39 publications

COVID-19 pandemic news and stock market reaction during the onset of the crisis: evidence from high-frequency data

COVID-19 pandemic news and stock market reaction during the onset of the crisis: evidence from high-frequency data

Comparison on Subannual Seasonality of Building Construction in European Countries

Data Driven Perspective on Stock Price - Macroeconomic Variables: Indonesia Economy 2016-2020

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