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Macroeconomic News Announcements and Price Discovery : Evidence from Canadian-U.S. Cross-Listed Firms

Frijns, Bart - 2015

This study employs macroeconomic news announcements as proxy for new information arrivals and examines their impact on price discovery of Canadian cross-listed stocks. We compare the price discovery of 38 Canadian companies listed on the Toronto Stock Exchange (TSX) and the New York Stock...

Persistent link: https://www.econbiz.de/10013010993

Do Stock Market Fear and Economic Policy Uncertainty Co-Move with COVID-19 Fear? Evidence from the US and UK

Rubbaniy, Ghulame; Khalid, Ali Awais; Tessema, Abiot - 2021

, to February 12, 2021, this study documents a strong positive comovement between implied volatility indices and two … proxies of the COVID-19 fear. However, in all the cases, the infectious disease equity market volatility index (IDEMVI), the … COVID-19 proxy that is more representative of the stock market, exhibits a stronger positive comovement with volatility …

Persistent link: https://www.econbiz.de/10013228363

Effects of Economic Policy Uncertainty Shocks on the Long-Run US-UK Stock Market Correlation

Asgharian, Hossein - 2020

We study the impact of economic policy uncertainty (EPU) shocks on the long-run stock market variances and correlations, primarily for the US and the UK. We find that US EPU shocks affect both US and UK stock market long-run variances and correlation, but UK EPU shocks only affect its own...

Persistent link: https://www.econbiz.de/10012855094

Are stock returns a leading indicator for real macroeconomic developments?

Burgstaller, Johann - 2002

Austria, Japan and the USA. Further I deal with the concept of stock market efficiency, the question whether or not …

Persistent link: https://www.econbiz.de/10009750238

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

Time-varying effects of the COVID-19 pandemic on stock markets and economic activity : evidence from the US and Europe

Caporale, Guglielmo Maria; Catik, A. Nazif; Helmi, … - In: Empirica : journal of european economics 51 (2024) 2, pp. 529-558

Persistent link: https://www.econbiz.de/10014557642

Volatility Transmission and Correlation Analysis between the US and Asia : The Impact of the Global Financial Crisis

Valls, Natalia - 2011

This paper examines volatility transmission and conditional correlations behaviour between the US and the Asian stock … volatility transmission between the US and the Asian markets. Moreover, it is found that, after the crisis, volatility …

Persistent link: https://www.econbiz.de/10013131471

Detecting scapegoat effects in the relationship between exchange rates and macroeconomic fundamentals

Pozzi, Lorenzo; Sadaba, Barbara - 2017

This paper presents a new testing method for the scapegoat model of exchange rates that aims to tighten the link between the theory on scapegoats and its empirical implementation. This new testing method consists of a number of steps. First, the exchange rate risk premium, the unobserved...

Persistent link: https://www.econbiz.de/10011662005

The interdependence of gold, US dollar and stock market in the context of COVID-19 pandemic : an insight into analysis in Asia and Europe

Oanh Kim Thi Tran; Ha Nguyen - In: Cogent economics & finance 10 (2022) 1, pp. 1-18

Using the panel data vector autoregression (PVAR) model, this study examines the correlation between the stock market, gold price and USD exchange rate in the context of the COVID-19 pandemic in 55 Asian and 32 European countries from 11 March 2021 to 29 October 2021. The results of Granger...

Persistent link: https://www.econbiz.de/10014500215

Stock market volatility response to COVID-19 : evidence from Thailand

Suthasinee Suwannapak; Surachai Chancharat - In: Journal of risk and financial management : JRFM 15 (2022) 12, pp. 1-9

This study investigated how stock market volatility responded dynamically to unexpected changes during the COVID-19 … pandemic and the resulting uncertainty in Thailand. Using a multivariate GARCH-BEKK model, the conditional volatility dynamics …, the interlinkages, and the conditional correlations between stock market volatility and the increasing rate of COVID-19 …

Persistent link: https://www.econbiz.de/10014284290

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