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dc.contributor.authorCanto, Beaen_US
dc.contributor.authorKräussl, Romanen_US
dc.description.abstractThis 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.en_US
dc.publisher|aGoethe University, Center for Financial Studies (CFS) |cFrankfurt a. M.en_US
dc.relation.ispartofseries|aCFS Working Paper |x2006/25en_US
dc.subject.keywordMarket Microstructureen_US
dc.subject.keywordStock Market Dynamic Interactionsen_US
dc.subject.keywordMacroeconomic Newsen_US
dc.subject.keywordHigh Frequency Dataen_US
dc.subject.keywordVAR Modelingen_US
dc.subject.keywordVariance Decompositionen_US
dc.titleStock market interactions and the impact of macroeconomic news: Evidence from high frequency data of European futures marketsen_US
dc.type|aWorking Paperen_US

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