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Macroeconomic News Announcements, Systemic Risk, Financial Market Volatility and Jumps
Huang, Xin - 2015
This paper studies financial market volatility and jump responses to macroeconomic news announcements. Based on two …
Persistent link: https://www.econbiz.de/10013012692
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Collective synchronization and high frequency systemic instabilities in financial markets
Calcagnile, Lucio Maria; Bormetti, Giacomo; Treccani, … - In: Quantitative finance 18 (2018) 2, pp. 237-247
Persistent link: https://www.econbiz.de/10011905911
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Market systemic risk, predictability and macroeconomics news
Wang, Cindy Shin Huei; Fan, Rui; Xie, Yiqiang - In: Finance research letters 56 (2023), pp. 1-12
Persistent link: https://www.econbiz.de/10014473685
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Financial transaction taxes : announcement effects, short-run effects, and long-run effects
Eichfelder, Sebastian; Lau, Mona - 2016 - Version: October 2016
liquidity and volatility. We extend the empirical research by the identification of FTT announcement and short-run treatment … effects, which may distort difference-in-differences estimates. In addition, we account not only for the intraday volatility … but also for long-term volatility measures. While we find strong evidence for a positive FTT announcement effect on …
Persistent link: https://www.econbiz.de/10011550386
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The impact of German macroeconomic data announcements on the Czech financial market
Moravcová, Michala - 2015
volatility during the 7-year total examined time period. Splitting the time series into 3 individual sub-periods the results … conditional volatility during financial crises. Furthermore, announcements of GDP and ZEW index calm the exchange rate …'s conditional volatility during the post-crises period. Finally, announcements of GDP data and PMI index form production sector …
Persistent link: https://www.econbiz.de/10011317142
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Order imbalance, market returns and macroeconomic news evidence from the Australian interest rate futures market
Smales, Lee A. - In: Research in international business and finance 26 (2012) 3, pp. 410-427
Persistent link: https://www.econbiz.de/10009615910
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Intraday seasonalities and macroeconomic news announcements
Harju, Kari; Hussain, Syed Mujahid - In: European financial management : the journal of the … 17 (2011) 2, pp. 367-390
Persistent link: https://www.econbiz.de/10008939214
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Changes in the impact of US macroeconomic news on financial markets the example of the Warsaw Stock Exchange
Gurgul, Henryk; Hastenteufel, Jessica; Wójtowicz, Tomasz - In: Statistics in transition : an international journal of … 22 (2021) 4, pp. 41-58
Due to the high importance of the American economy, in the past, announcements of US macroeconomic data were shown to have a significant impact on financial markets in general, and on European stock markets in particular. However, as this effect may vary in time, this paper examines the changes...
Persistent link: https://www.econbiz.de/10012818165
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COVID-19 pandemic news and stock market reaction during the onset of the crisis : evidence from high-frequency data
Ambros, Maximilian; Frenkel, Michael; Toan Luu Duc Huynh; … - In: Applied economics letters 28 (2021) 19, pp. 1686-1689
Persistent link: https://www.econbiz.de/10012652574
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The news effect of COVID-19 on global financial market volatility
Haldar, Anasuya; Sethi, Narayan - In: Bulletin of monetary economics and banking 24 (2021), pp. 33-58
Persistent link: https://www.econbiz.de/10012583996