The impact of US news on the German stock market—An event study analysis

This paper investigates the impact of the opening of US stock markets on the German stock market. Quantiles of the S&P 500 return distribution are used to distinguish good, bad, and no news days. We find that the German market reacts to the US news announcements which typically precede the opening of the NYSE. The opening of the market itself and the beginning of trading is not found to affect the DAX. On calm days there is no measurable impact. Once important news is transmitted, it is processed rapidly. Volatility is found to be significantly higher on news days.

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Year of publication:	2011
Authors:	Dimpfl, Thomas
Published in:	The Quarterly Review of Economics and Finance. - Elsevier, ISSN 1062-9769. - Vol. 51.2011, 4, p. 389-398
Publisher:	Elsevier
Subject:	Event study \| News impact \| Spillover \| Volatility \| Price discovery

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Type of publication:	Article
Classification:	C22 - Time-Series Models ; C50 - Econometric Modeling. General ; G14 - Information and Market Efficiency; Event Studies
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011040175