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US macroeconomic news effects around the US and European financial crises: Evidence from Brazilian and Mexican equity indices

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  • Hussain, Syed Mujahid
  • Ben Omrane, Walid
  • Al-Yahyaee, Khamis

Abstract

We examine the intraday index return and volatility responses of two Latin American equity markets to US macroeconomic news releases around the periods of the US and European financial crises. We find that while index return is more sensitive than volatility to macroeconomic news in general, the five-minute Brazilian and Mexican index volatilities respond especially strongly to US news surprises, with the Brazilian response being more pronounced, especially during the expansion period. Among the macroeconomic indicators tested, FOMC rate decisions exhibit the highest impact on volatility, and there is evidence of asymmetric response to positive versus negative news.

Suggested Citation

  • Hussain, Syed Mujahid & Ben Omrane, Walid & Al-Yahyaee, Khamis, 2020. "US macroeconomic news effects around the US and European financial crises: Evidence from Brazilian and Mexican equity indices," Global Finance Journal, Elsevier, vol. 46(C).
    • Handle: RePEc:eee:glofin:v:46:y:2020:i:c:s1044028319300109
    DOI: 10.1016/j.gfj.2019.100482
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    More about this item

    Keywords

    Intraday volatility; Emerging markets; Macroeconomic news; Financial crisis;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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