scholarly journals Macroeconomic News, Announcements, and Stock Market Jump Intensity Dynamics

2010 ◽  
Author(s):  
Jose Gonzalo Rangel
Keyword(s):  
Stock Market ◽  
Macroeconomic News ◽  
News Announcements ◽  
Jump Intensity

scholarly journals Macroeconomic news, announcements, and stock market jump intensity dynamics

2011 ◽  
Vol 35 (5) ◽  
pp. 1263-1276 ◽  
Author(s):  
José Gonzalo Rangel
Keyword(s):  
Stock Market ◽  
Macroeconomic News ◽  
News Announcements ◽  
Jump Intensity

Global stock market reactions to scheduled U.S. macroeconomic news announcements

2006 ◽  
Vol 17 (1) ◽  
pp. 92-104 ◽  
Author(s):  
Jussi Nikkinen ◽  
Mohammed Omran ◽  
Petri Sahlström ◽  
Janne Äijö
Keyword(s):  
Stock Market ◽  
Macroeconomic News ◽  
Market Reactions ◽  
News Announcements ◽  
Stock Market Reactions ◽  
Global Stock

scholarly journals Turn-of-the-month and Intramonth Anomalies and U.S. Macroeconomic News Announcements on the Thinly Traded Finnish Stock Market

2009 ◽  
Vol 1 (2) ◽  
Author(s):  
Jussi Nikkinen ◽  
Petri Sahlström ◽  
Karri Takko ◽  
Janne Äijö
Keyword(s):  
Stock Market ◽  
Macroeconomic News ◽  
News Announcements

The Response of Individual Fx Dealers' Quoting Activity to Macroeconomic News Announcements'

2003 ◽  
Author(s):  
Walid Ben Omrane ◽  
Andréas Heinen
Keyword(s):  
Macroeconomic News ◽  
News Announcements

Market reaction to scheduled and unscheduled news announcements under varying economic conditions

2020 ◽  
Author(s):  
◽  
Parveshsingh Seeballack
Keyword(s):  
Stock Returns ◽  
Risk Premium ◽  
Implied Volatility ◽  
Equity Market ◽  
Economic Conditions ◽  
Time Varying ◽  
Equity Risk Premium ◽  
Macroeconomic News ◽  
Equity Risk ◽  
News Announcements

The unifying theme of this dissertation is the study of the role of macroeconomic news announcements in the context of the equity market. We focus on two important areas of the asset pricing theory, namely price discovery and equity risk premium forecasting. Chapter 2 investigates the time-varying sensitivity of stock returns to scheduled macroeconomic news announcements (MNAs) using high-frequency data. We present new insights into how efficiently stock returns incorporate the informational content of MNAs. We further provide evidence that the stock market response to MNAs is cyclical, and finally we conclude Chapter 2 with an investigation into the factors driving the time-varying sensitivity of stock return to MNAs. Chapter 3 investigates the time-varying sensitivity of stock returns in the context of unscheduled macroeconomic news announcements using high-frequency data. We investigate the speed and persistence in stock returns’ response to unscheduled macro-news announcements, and whether the reactions are dependent on the state of the economy, or general investor sentiment level. Combined, Chapters 2 and 3 provide interesting insights into how equity market participants react to the arrival of scheduled and unscheduled macro-announcements, under varying economic conditions. Chapter 4 focuses on equity risk premium forecasting. We investigate the predictive ability of option-implied volatility variables at monthly horizon, under varying economic conditions. We innovate by constructing monthly announcement and non-announcement option-implied volatility predictors and assess whether the monthly announcement option-implied volatility predictors contain additional information for better out-of-sample predictions of the monthly equity risk premium. Each of the three empirical chapters explores a unique aspect of the asset pricing theory in the context of the U.S. equity market.

scholarly journals Sovereign CDS Premiums’ Reaction to Macroeconomic News: An Empirical Investigation

Complexity ◽  
2021 ◽  
Vol 2021 ◽  
pp. 1-13
Author(s):  
Min Lu ◽  
Michele Passariello ◽  
Xing Wang
Keyword(s):  
Empirical Investigation ◽  
Credit Default Swap ◽  
Sample Period ◽  
Market Uncertainty ◽  
Macroeconomic News ◽  
Sovereign Credit ◽  
News Announcements ◽  
Credit Default ◽  
Default Swap

We assess the efficiency of the sovereign credit default swap (CDS) market by investigating how sovereign CDS spreads react to macroeconomic news announcements. Contrary to the vast majority of the existing literature, one of our main findings supports the hypothesis that news announcements reduce market uncertainty and, thus, that both better- and worse-than-expected news lower CDS prices during our sample period. In addition, we find that CDS spreads respond differently to the four macroindicators across the three different regions. Our findings might help investors in these areas to interpret the surprises of macronews announcements when making decisions in CDS markets.

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