EconStor >
Goethe-Universität Frankfurt am Main >
Center for Financial Studies (CFS), Universität Frankfurt a. M.  >
CFS Working Paper Series, Universität Frankfurt a. M. >

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10419/25491
  
Title:Stock market interactions and the impact of macroeconomic news: Evidence from high frequency data of European futures markets PDF Logo
Authors:Canto, Bea
Kräussl, Roman
Issue Date:2006
Series/Report no.:CFS Working Paper 2006/25
Abstract:This study analyzes the short-term dynamic spillovers between the futures returns on the DAX, the DJ Eurostoxx 50 and the FTSE 100. It also examines whether economic news is one source of international stock return co-movements. In particular, we test whether stock market interdependencies are attributable to reactions of foreign traders to public economic information. Moreover, we analyze whether cross-market linkages remain the same or whether they do increase during periods in which economic news is released in one of the countries. Our main results can be summarized as follows: (i) there are clear short term international dynamic interactions among the European stock futures markets; (ii) foreign economic news affects domestic returns; (iii) futures returns adjust to news immediately; (iv) announcement timing of macroeconomic news matters; (v) stock market dynamic interactions do not increase at the time of the release of economic news; (vi) foreign investors react to the content of the news itself more than to the response of the domestic market to the national news; and (vii) contemporaneous correlation between futures returns changes at the time of macroeconomic releases.
Subjects:Market Microstructure
Stock Market Dynamic Interactions
Macroeconomic News
High Frequency Data
VAR Modeling
Variance Decomposition
JEL:G14
G15
Persistent Identifier of the first edition:urn:nbn:de:hebis:30-37992
Document Type:Working Paper
Appears in Collections:CFS Working Paper Series, Universität Frankfurt a. M.

Files in This Item:
File Description SizeFormat
527428256.PDF406.12 kBAdobe PDF
No. of Downloads: Counter Stats
Download bibliographical data as: BibTeX
Share on:http://hdl.handle.net/10419/25491

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.