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Intraday effect of news on emerging European forex markets : an event study analysis
Kočenda, Evžen; Moravcová, Michala - 2018
We analyze the impact of Eurozone/Germany and U.S. macroeconomic news announcements and the communication of the monetary policy settings of the ECB and the Fed on the forex markets of new EU members. We employ an event study methodology to analyze intra-day data from 2011-2015. Our...
Persistent link: https://www.econbiz.de/10011902959
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The signaling effects of fiscal announcements
Melosi, Leonardo; Morita, Hiroshi; Rogantini Picco, Anna; … - 2024
Announcing a large fiscal stimulus may signal the government’s pessimism about the severity of a recession to the private sector, impairing the stabilizing effects of the policy. Using a theoretical model, we show that these signaling effects occur when the stimulus exceeds expectations and...
Persistent link: https://www.econbiz.de/10015052575
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The micro dynamics of macro announcements
Mittnik, Stefan; Robinzonov, Nikolay; Wohlrabe, Klaus - 2013
response analysis. Second, we examine the announcements effects on market volatility in a more detailed fashion by … adequately analyze both conditional mean and volatility effects. …
Persistent link: https://www.econbiz.de/10010190208
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Macro news and stock returns in the euro Area : a VAR-GARCH-in-means analysis
Caporale, Guglielmo Maria; Spagnolo, Fabio; Spagnolo, Nicola - 2014
follows. Positive (negative) news have significant positive (negative) effects on stock returns in all cases. Their volatility … has a significant impact on both stock returns and volatility; specifically, an increase in news volatility is always …
Persistent link: https://www.econbiz.de/10010383808
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Expectation dispersion, uncertainty, and the reaction to news
Born, Benjamin; Dovern, Jonas; Enders, Zeno - 2020
Releases of key macroeconomic indicators are closely watched by financial markets. We investigate the role of expectation dispersion and economic uncertainty for the stock-market reaction to indicator releases. We find that the strength of the financial market response to news decreases with the...
Persistent link: https://www.econbiz.de/10012404549
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Bitcoin fluctuations and the frequency of price overreactions
Caporale, Guglielmo Maria; Plastun, Alex; Oliinyk, Viktor - 2018
This paper investigates the role of the frequency of price overreactions in the cryptocurrency market in the case of BitCoin over the period 2013-2018. Specifically, it uses a static approach to detect overreactions and then carries out hypothesis testing by means of a variety of statistical...
Persistent link: https://www.econbiz.de/10011922057
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Revealing downturns
Schmalz, Martin C.; Zhuk, Sergey - 2018
prices react more to news in downturns than in upturns, implying higher volatility in downturns and negatively skewed returns …
Persistent link: https://www.econbiz.de/10011794118
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The impact of containment measures and monetary and fiscal responses on US financial markets during the Covid-19 pandemic
Abakah, Emmanuel Joel Aikins; Caporale, Guglielmo Maria; … - 2021
This paper analyses the effects of containment measures and monetary and fiscal responses on US financial markets during the Covid-19 pandemic. More specifically, it applies fractional integration methods to analyse their impact on the daily S&P500, the US Treasury Bond Index (USTB), the S&P...
Persistent link: https://www.econbiz.de/10012584220
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The economic effects of Brexit : evidence from the stock market
Breinlich, Holger; Leromain, Elsa; Novy, Dennis; … - 2018
We study stock market reactions to the Brexit referendum on 23 June 2016 in order to assess investors' expectations about the effects of leaving the European Union on the UK economy. Our results suggest that initial stock price movements were driven by fears of a cyclical downturn and by the...
Persistent link: https://www.econbiz.de/10011900762
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The changing macroeconomic response to stock market volatility shocks
Beetsma, Roel; Giuliodori, Massimo - 2011 - This version: 14 November 2011
activity. However, using U.S. data since 1950 we show that the macroeconomic response pattern to stock market volatility shocks … decomposition for consumption growth shows that the contribution of stock market volatility becomes negligible as we go from earlier … of stock market volatility. -- Dow Jones index ; stock market volatility shocks ; economic growth ; consumption …
Persistent link: https://www.econbiz.de/10009380407