Belgacem, Aymen; Creti, Anna; Guesmi, Khaled; Lahiani, Amine - Institut de Préparation à l'Administration et à la … - 2014
The paper employs an event study methodology to investigate the macroeconomic announcements effects on S&P500 and oil prices. Our results provide evidence of a significant impact of the US macroeconomic news on oil prices. This impact is split into two components, namely the direct effect...
