Macro News and Commodity Returns

Guglielmo Maria Caporale; Fabio Spagnolo; Nicola Spagnolo

doi:10.1002/ijfe.1568

Macro News and Stock Returns in the Euro Area: A VAR-GARCH-in-Mean Analysis

SSRN Electronic Journal ◽

10.2139/ssrn.2472983 ◽

2014 ◽

Cited By ~ 2

Author(s):

Guglielmo Maria Caporale ◽

Fabio Spagnolo ◽

Nicola Spagnolo

Keyword(s):

Stock Returns ◽

Euro Area ◽

Macro News

Macro News, Micro News, and Stock Prices

SSRN Electronic Journal ◽

10.2139/ssrn.2890864 ◽

2016 ◽

Cited By ~ 1

Author(s):

Jinfei Sheng

Keyword(s):

Stock Prices ◽

Macro News

Generating Financial Reports from Macro News via Multiple Edits Neural Networks

Machine Learning and Knowledge Discovery in Databases - Lecture Notes in Computer Science ◽

10.1007/978-3-030-67664-3_40 ◽

2021 ◽

pp. 667-682

Author(s):

Wenxin Hu ◽

Xiaofeng Zhang ◽

Yunpeng Ren

Keyword(s):

Neural Networks ◽

Financial Reports ◽

Macro News

The Impact of Non-trading Periods on the Measurement of Volatility

Review of Pacific Basin Financial Markets and Policies ◽

10.1142/s0219091510002098 ◽

2010 ◽

Vol 13 (04) ◽

pp. 607-620 ◽

Cited By ~ 5

Author(s):

Yaw-Huei Wang ◽

Yu-Jen Hsiao

Keyword(s):

Relevant Information ◽

The Other ◽

Day Trading ◽

Other Hand ◽

The Us ◽

Macro News ◽

The Uk ◽

The Impact

Based upon the theory of the "arrival of news", the main purpose of this paper is to investigate the impact of non-trading periods on the measurement of volatility for the S&P 500, FTSE 100, and TAIEX indices. Using an adaptation of the GJR (1,1) model, we find that both weekday holiday periods and half-day trading periods have significant impacts on the estimation of volatility for the S&P 500 and FTSE 100 indices. On the other hand, weekends have significant impacts for the TAIEX index. Our findings imply that for the UK and US markets, much less relevant information is produced during weekends, while more relevant information continues to be produced during other types of non-trading periods. However, the weekend volatility of the Taiwan market is specially driven because the US macro news is announced on Fridays and the trading time of the US market is later than that of the Taiwan market without any overlapping.

Macro news and stock returns in the Euro area: A VAR-GARCH-in-mean analysis

International Review of Financial Analysis ◽

10.1016/j.irfa.2016.03.016 ◽

2016 ◽

Vol 45 ◽

pp. 180-188 ◽

Cited By ~ 8

Author(s):

Guglielmo Maria Caporale ◽

Fabio Spagnolo ◽

Nicola Spagnolo

Keyword(s):

Stock Returns ◽

Euro Area ◽

Macro News

The exchange rate effects of macro news after the global Financial Crisis

Journal of International Money and Finance ◽

10.1016/j.jimonfin.2018.03.009 ◽

2019 ◽

Vol 95 ◽

pp. 424-443 ◽

Cited By ~ 3

Author(s):

Yin-Wong Cheung ◽

Rasmus Fatum ◽

Yohei Yamamoto

Keyword(s):

Exchange Rate ◽

Financial Crisis ◽

Global Financial Crisis ◽

Rate Effects ◽

Macro News ◽

The Exchange Rate ◽

The Global Financial Crisis

The Effects of Macro News on Exchange Rates Volatilities: Evidence from BRICS Countries

Emerging Markets Finance and Trade ◽

10.1080/1540496x.2019.1680540 ◽

2019 ◽

Vol 56 (8) ◽

pp. 1817-1842

Author(s):

Zhitao Lin ◽

Ruolan Ouyang ◽

Xuan Zhang

Keyword(s):

Exchange Rates ◽

Brics Countries ◽

Macro News

Macro news and bond yield spreads in the euro area

European Journal of Finance ◽

10.1080/1351847x.2017.1285797 ◽

2017 ◽

Vol 24 (2) ◽

pp. 114-134 ◽

Cited By ~ 11

Author(s):

Guglielmo Maria Caporale ◽

Fabio Spagnolo ◽

Nicola Spagnolo

Keyword(s):

Euro Area ◽

Yield Spreads ◽

Bond Yield ◽

Macro News

How is macro news transmitted to exchange rates?

Journal of Financial Economics ◽

10.1016/j.jfineco.2007.06.001 ◽

2008 ◽

Vol 88 (1) ◽

pp. 26-50 ◽

Cited By ~ 165

Author(s):

Martin D.D. Evans ◽

Richard K. Lyons

Keyword(s):

Exchange Rates ◽

Macro News

A hybrid approach to exchange rates

Studies in Economics and Finance ◽

10.1108/sef-10-2014-0185 ◽

2016 ◽

Vol 33 (1) ◽

pp. 50-68 ◽

Cited By ~ 1

Author(s):

Guangfeng Zhang ◽

Ian Marsh ◽

Ronald MacDonald

Keyword(s):

Exchange Rate ◽

Exchange Rates ◽

Real Time ◽

Private Information ◽

Hybrid Approach ◽

Exchange Rate Volatility ◽

Content Type ◽

Macro News ◽

The Impact ◽

Exchange Rates Volatility

Purpose – This study aims to investigate the impact of information, both public macro news and private information, on exchange rate volatility in an integrated framework. Design/methodology/approach – The authors apply real-time data of macro announcements and high-frequency trading data (German Deutsche Mark to US dollar, DEM/USD, from 1 May to 31August 1996) to GARCH models and examine various model specifications. Findings – Data analysis demonstrates real-time macro news and market makers’ private information both have a significant impact on exchange rate volatility, but there is no interaction between macro and micro information in the information transmission process. Originality/value – This study contributes to empirical hybrid studies of examining exchange rates volatility, which is in line with literature that combine both macro and micro fundamentals in examining exchange rates variation. Particularly, a key element of this study is to use a microstructure fundamental variable, namely, order flow, to capture private information in an exchange rate volatility study.