Stock Market Response To Unexpected Macroeconomic News
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Stock Market Response To Unexpected Macroeconomic News
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Author : Mahdi Sadeghi
language : en
Publisher: International Monetary Fund
Release Date : 1992-08-01
Stock Market Response To Unexpected Macroeconomic News written by Mahdi Sadeghi and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 1992-08-01 with Business & Economics categories.
This paper provides empirical evidence on the relationship between unexpected changes in macroeconomic variables and Australian stock returns over the period 1980-1991. The results suggest that stock returns are positively correlated with any surprise news in the current account deficit, the exchange rate and growth rate of real GDP, and negatively correlated with surprise news about the inflation rate and interest rates. Stock returns are also positively correlated with the unexpected unemployment rate and negatively correlated to revisions in the expected unemployment rate. The results furthermore suggest that market portfolios can detect the impact of common economic shocks better than the portfolios of the two main subsectors of the market.
Stock Market Response To Unexpected Macroeconomic News
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Author : Mehdi Sadeghi
language : en
Publisher:
Release Date : 2006
Stock Market Response To Unexpected Macroeconomic News written by Mehdi Sadeghi and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with categories.
This paper provides empirical evidence on the relationship between unexpected changes in macroeconomic variables and Australian stock returns over the period 1980-1991. The results suggest that stock returns are positively correlated with any surprise news in the current account deficit, the exchange rate and growth rate of real GDP, and negatively correlated with surprise news about the inflation rate and interest rates. Stock returns are also positively correlated with the unexpected unemployment rate and negatively correlated to revisions in the expected unemployment rate. The results furthermore suggest that market portfolios can detect the impact of common economic shocks better than the portfolios of the two main sub-sectors of the market.
Stock Market Response To Unexpected Macroeconomic News
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Author : Fondo Monetario Internacional
language : es
Publisher:
Release Date : 1992
Stock Market Response To Unexpected Macroeconomic News written by Fondo Monetario Internacional and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1992 with categories.
Responses Of The Stock Market To Macroeconomic Announcements Across Economic States
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Author : Zuliu Hu
language : en
Publisher: International Monetary Fund
Release Date : 1998-05-01
Responses Of The Stock Market To Macroeconomic Announcements Across Economic States written by Zuliu Hu and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 1998-05-01 with Business & Economics categories.
Is the stock market responsive to macroeconomic news? This paper employs the daily returns of the Dow Jones Industrial Index, the S&P 500 index, the Russell 1000 index, and the Russell 2000 index to examine stock market reactions to a broad list of macroeconomic announcements, including money supply, inflation, employment, housing starts, and trade balances, etc. Several announcements concerning real economic activity that have received little attention in previous research are shown to have a significant impact on stock prices. The paper also presents preliminary evidence for the different reaction to macroeconomic news by small cap stocks and large cap stocks.
Macroeconomic News Effects In Commodity Futures And German Stock And Bond Futures Markets
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Author : He Huang
language : en
Publisher: BoD – Books on Demand
Release Date : 2010
Macroeconomic News Effects In Commodity Futures And German Stock And Bond Futures Markets written by He Huang and has been published by BoD – Books on Demand this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with Business & Economics categories.
A well-known concept in modern capital market theory is that only systematic risk factors affect security prices. Macroeconomic announcements are among the most important news for financial markets because the state of the economy is a prime candidate for such a source of non-diversifiable risk. This book investigates the effects of US macroeconomic news on three financial markets that have received less attention in the literature so far. The markets of interest are the commodity futures market, the German stock index futures market, and the German bond futures market. I investigate not only price effects, but also liquidity effects as well as the channels of cross-border information flow. I find that commodity markets as well as international stock and bond markets are likewise affected by the release of US macroeconomic news. The strength of the commodity price response depends on the state of the economy and news about the US economy is more important for German stock markets than domestic economic news. For an investor in any of these markets, this book provides valuable information on how to adjust his trading strategies around the release of macroeconomic news. Moreover, my findings contribute to the understanding of cross-border information flow. First, I find that both domestic and foreign economic news induce significant price and liquidity effects. Second, I find that there are two important channels of information transmission for foreign news: the direct response to the news and the indirect response to the foreign response to the news.
Macroeconomic News Announcements And The Role Of Expectations
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Author : Suk-Joong Kim
language : en
Publisher:
Release Date : 2005
Macroeconomic News Announcements And The Role Of Expectations written by Suk-Joong Kim and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with categories.
We investigate the impact of scheduled government announcements relating to six different macroeconomic variables on the risk and return of three major US financial markets. Our results suggest that these markets do not respond in any meaningful way, to the act of releasing information by the government. Rather, it is the news content of these announcements which cause the market to react. For the three markets tested, unexpected balance of trade news was found to have the greatest impact on the mean return in the foreign exchange market. In the bond market, news related to the internal economy was found to be important. For the US stock market, consumer and producer price information was found to be important. Finally, financial market volatility was found to have increased in response to some classes of announcement and fallen for others. In part, this result can be explained by differential policy feedback effects.
Stock Market Response To Unexpected Macroeconomic News
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Author : Mehdi Sadeghi
language : en
Publisher:
Release Date : 1992
Stock Market Response To Unexpected Macroeconomic News written by Mehdi Sadeghi and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1992 with Australia categories.
Total Attention
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Author : Linda H. Chen
language : en
Publisher:
Release Date : 2018
Total Attention written by Linda H. Chen and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018 with categories.
We show evidence that consistent with category-learning behavior, investors allocate more attention to macroeconomic news than to firm-specific news, such as earnings announcements. Despite the distracting effect of macroeconomic news on investor attention, we find that earnings announcements with concurrent macroeconomic news announcements actually have significantly stronger immediate market response and weaker post-earnings announcement drift. We hypothesize that the combined total attention to macroeconomic news and earnings announcements helps investors understand both the systematic and firm-specific components of earnings surprises. Consistent with the hypothesis, our results show that the macroeconomic news effect is mainly driven by firms with high exposure to macroeconomic news. Moreover, we show that the effect is stronger when macroeconomic news contains more information and for firms with greater information uncertainty. Finally, we provide evidence that macroeconomic news helps reduce stock return uncertainty and enhance stock price efficiency.
Liquidity Markets And Trading In Action
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Author : Deniz Ozenbas
language : en
Publisher: Springer Nature
Release Date : 2022
Liquidity Markets And Trading In Action written by Deniz Ozenbas and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022 with Business enterprises categories.
This open access book addresses four standard business school subjects: microeconomics, macroeconomics, finance and information systems as they relate to trading, liquidity, and market structure. It provides a detailed examination of the impact of trading costs and other impediments of trading that the authors call rictions It also presents an interactive simulation model of equity market trading, TraderEx, that enables students to implement trading decisions in different market scenarios and structures. Addressing these topics shines a bright light on how a real-world financial market operates, and the simulation provides students with an experiential learning opportunity that is informative and fun. Each of the chapters is designed so that it can be used as a stand-alone module in an existing economics, finance, or information science course. Instructor resources such as discussion questions, Powerpoint slides and TraderEx exercises are available online.
Regional Aspects Of Monetary Policy In Europe
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Author : Jürgen von Hagen
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-04-17
Regional Aspects Of Monetary Policy In Europe written by Jürgen von Hagen and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-04-17 with Business & Economics categories.
Monetary union has dawned in Europe. Now that the common currency is a reality, questions concerning the practical conduct of monetary policy in the European Monetary Union (EMU) are moving to the forefront of the policy debate. Among these, one of the most critical is how the new monetary union will cope with the large heterogeneity of its member economies. Given the large differences in economic and financial structures among the EMU member states, monetary policy is likely to affect different member economies in different ways. Regional Aspects of Monetary Policy in Europe collects the proceedings of an international conference held at the Center for European Integration Studies of the University of Bonn, dedicated to this issue. The contributions to this conference fall into two parts. The first part consists of empirical and theoretical studies of the regional effects of monetary policy in heterogeneous monetary unions. The second part consists of papers analyzing the political economy of monetary policy in a monetary union of heterogeneous regions or member states. The papers all support the conclusion that regional differences in the responses to a common monetary policy will make European monetary policy especially difficult in the years to come. Such differences arise from a variety of sources, and they cannot be expected to be mere teething troubles that will disappear after a while. Even if they were ignored in the run-up to the EMU, Europe's central bankers and economic policy makers will have to learn how to cope with such differences in the future.
