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The Impact of Macroeconomic Announcements on Stock Prices: In Search of State Dependence

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  • Marc Poitras

Abstract

Federal bureaus make regularly scheduled public announcements of macroeconomic variables such as employment, the price level, and the money stock. Recently, several studies claim to establish an empirical relationship between the impact of these announcements on financial markets and the state of the business cycle. The present article estimates the impact of several announcement variables on daily closing values of the Standard and Poor's (S&P) 500. Contrary to previous studies, this study finds no significant evidence that the marginal effects of announcements vary with the state of the economy.

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  • Marc Poitras, 2004. "The Impact of Macroeconomic Announcements on Stock Prices: In Search of State Dependence," Southern Economic Journal, John Wiley & Sons, vol. 70(3), pages 549-565, January.
    • Handle: RePEc:wly:soecon:v:70:y:2004:i:3:p:549-565
    DOI: 10.1002/j.2325-8012.2004.tb00588.x
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    References listed on IDEAS

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    2. Aymen Belgacem, 2009. "Fundamentals, Macroeconomic Announcements and Asset Prices," Working Papers hal-04140878, HAL.

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