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Are the Announcements Regarding Macroeconomic Fundamentals Responsible for Changes in the Dynamics of Stock Markets? CEE vs Developed Markets

Author

Listed:
  • Radu Lupu

    (Institute for Economic Forecasting, Bucharest, Romania)

  • Adrian Cantemir Calin

    (Institute for Economic Forecasting, Bucharest, Romania)

  • Georgiana Roxana Ene

    (Bucharest Academy of Economic Studies)

Abstract

Fama (1965) postulates that a market is efficient if the prices of the traded assets are an accurate estimator of their value. Moreover, the random walk hypothesis states that all the information available is included in the price of a certain asset. This paper aims to investigate if a series of macroeconomic announcements generates abnormal evolutions for Central and East European stock market indices and also for indices belonging to countries with solid and liquid financial markets. In order to achieve this objective, we use an event study that extends the methodology found in Albu et al (2014a). Our analysis is carried out both in terms of abnormal returns and abnormal variances. We find that the battery of macroeconomic announcements does not influence the dynamics of the indices considered in this study. In spite of this, our results point out strong effects in terms of abnormal variances, both for CEE and developed countries.

Suggested Citation

  • Radu Lupu & Adrian Cantemir Calin & Georgiana Roxana Ene, 2015. "Are the Announcements Regarding Macroeconomic Fundamentals Responsible for Changes in the Dynamics of Stock Markets? CEE vs Developed Markets," Hyperion Economic Journal, Faculty of Economic Sciences, Hyperion University of Bucharest, Romania, vol. 3(3), pages 3-13, September.
    • Handle: RePEc:hyp:journl:v:3:y:2015:i:3:p:3-13
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    More about this item

    Keywords

    macroeconomic fundamentals; stock market indices; efficient markets; event study;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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