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Impact of Scheduled U.S. Macroeconomic News on Stock Market Uncertainty: A Multinational Perspecive

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  • Jussi Nikkinen

    (University of Vaasa, Finland)

  • Petri Sahlstrom

    (University of Vaasa, Finland)

Abstract

This study examines how the U.S. macroeconomic news releases affect uncertainty in domestic and foreign stock exchanges. For that purpose, the behavior of the implied volatilities from the U.S. and Finnish markets is investigated around the employment, producer price index (PPI) and consumer price index (CPI) reports. The results confirm the hypothesis that implied volatility increases prior to the macroeconomic news release and drops after the announcement in both markets. This implies that uncertainty associated with the U.S. macroeconomic news releases is reflected in foreign stock markets as well. Of the macroeconomic news releases, the employment report has the largest impact on uncertainty.

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  • Jussi Nikkinen & Petri Sahlstrom, 2001. "Impact of Scheduled U.S. Macroeconomic News on Stock Market Uncertainty: A Multinational Perspecive," Multinational Finance Journal, Multinational Finance Journal, vol. 5(2), pages 129-148, June.
    • Handle: RePEc:mfj:journl:v:5:y:2001:i:2:p:129-148
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    References listed on IDEAS

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    2. Steeley, James M. & Matyushkin, Alexander, 2015. "The effects of quantitative easing on the volatility of the gilt-edged market," International Review of Financial Analysis, Elsevier, vol. 37(C), pages 113-128.
    3. Shogbuyi, Abiodun & Steeley, James M., 2017. "The effect of quantitative easing on the variance and covariance of the UK and US equity markets," International Review of Financial Analysis, Elsevier, vol. 52(C), pages 281-291.
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    5. Abasov, Muzaffar, 2018. "Analyses of the impacts of U.S. macroeconomic announcements on the stock markets of a selection of countries," MPRA Paper 104267, University Library of Munich, Germany.
    6. Aymen Belgacem, 2009. "Fundamentals, Macroeconomic Announcements and Asset Prices," Working Papers hal-04140878, HAL.

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    More about this item

    Keywords

    implied volatility; index options; macroeconomic news; uncertainty;
    All these keywords.

    JEL classification:

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

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