The Effects of Inflation News on High Frequency Stock Returns
AbstractPrevious research using daily returns finds conflicting evidence about the relationship between unanticipated inflation (news) and stock returns. We explore the relationship by looking at the response (in minutes and trades) of size-based stock portfolios to unexpected changes in the regularly scheduled Producer Price Index and Consumer Price Index announcements. In particular, we answer the following three questions: (1) Do stocks respond to inflation news? (2) What is the speed and path of that response? (3) Is the response stable or does it vary with the economy, the direction of the news, or time?
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by University of Chicago Press in its journal Journal of Business.
Volume (Year): 77 (2004)
Issue (Month): 3 (July)
Contact details of provider:
Web page: http://www.journals.uchicago.edu/JB/
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Erenburg, Grigori & Kurov, Alexander & Lasser, Dennis J., 2006. "Trading around macroeconomic announcements: Are all traders created equal?," Journal of Financial Intermediation, Elsevier, vol. 15(4), pages 470-493, October.
- Dieter Hess & He Huang & Alexandra Niessen, 2008. "How do commodity futures respond to macroeconomic news?," Financial Markets and Portfolio Management, Springer, vol. 22(2), pages 127-146, June.
- Lapp, John S. & Pearce, Douglas K., 2012. "The impact of economic news on expected changes in monetary policy," Journal of Macroeconomics, Elsevier, vol. 34(2), pages 362-379.
- Alenka Kavkler & Mejra Festić, 2011. "Modelling Stock Exchange Index Returns in Different GDP Growth Regimes," Prague Economic Papers, University of Economics, Prague, vol. 2011(1), pages 3-22.
- Díaz, Antonio & Jareño, Francisco, 2009. "Explanatory factors of the inflation news impact on stock returns by sector: The Spanish case," Research in International Business and Finance, Elsevier, vol. 23(3), pages 349-368, September.
- Gilbert, Thomas, 2011. "Information aggregation around macroeconomic announcements: Revisions matter," Journal of Financial Economics, Elsevier, vol. 101(1), pages 114-131, July.
- Khan, Muhammad Irfan Khan & Meher, Muhammad Ayub Khan Mehar & Syed, Syed Muhammad Kashif, 2013. "Impact of Inflation on Dividend Policy: Synchronization of Capital Gain and Interest Rate," MPRA Paper 51593, University Library of Munich, Germany, revised 04 Nov 2013.
- Dimpfl, Thomas, 2011. "The impact of US news on the German stock market—An event study analysis," The Quarterly Review of Economics and Finance, Elsevier, vol. 51(4), pages 389-398.
- Li, Lifang & Narayan, Paresh Kumar & Zheng, Xinwei, 2010. "An analysis of inflation and stock returns for the UK," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 20(5), pages 519-532, December.
- José Gonzalo Rangel, 2009.
"Macroeconomic News, Announcements, and Stock Market Jump Intensity Dynamics,"
2009-15, Banco de México.
- Rangel, José Gonzalo, 2011. "Macroeconomic news, announcements, and stock market jump intensity dynamics," Journal of Banking & Finance, Elsevier, vol. 35(5), pages 1263-1276, May.
- Laivi Laidroo & Zana Grigaliuniene, 2012. "Testing for asymmetries in price reactions to quarterly earnings announcements on Tallinn, Riga and Vilnius Stock Exchanges during 2000-2009," Baltic Journal of Economics, Baltic International Centre for Economic Policy Studies, vol. 12(1), pages 61- 86, July.
- Elder, John & Miao, Hong & Ramchander, Sanjay, 2012. "Impact of macroeconomic news on metal futures," Journal of Banking & Finance, Elsevier, vol. 36(1), pages 51-65.
- Subhani, Muhammad Imtiaz & Osman, Amber & Gul, Ameet, 2010. "Relationship between consumer price index (CPI) and KSE-100 index trading volume in pakistan and finding the endogeneity in the involved data," MPRA Paper 26375, University Library of Munich, Germany, revised 02 Nov 2010.
- Pearce, Douglas K. & Solakoglu, M. Nihat, 2007. "Macroeconomic news and exchange rates," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 17(4), pages 307-325, October.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Journals Division).
If references are entirely missing, you can add them using this form.