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Does Regular Economic News from Emerging Countries Move Markets? Evidence from Chinese Macro Announcements

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  • Christopher F Baum

    ()
    (Boston College
    DIW Berlin)

  • Marketa W. Halova

    ()
    (Department of Economics, Washington State University)

  • Alexander Kurov

    ()
    (Department of Finance, West Virginia University)

Abstract

We use scheduled macroeconomic announcements made by China to study how regular economic news from an important emerging economy moves the world financial and commodity markets. Using intraday futures data, we show that announcements about China's manufacturing purchasing manager index, industrial production and real gross domestic product have a significant effect on stock, bond, foreign exchange, and industrial commodity markets. This impact is sizeable compared to similar U.S. announcements and continues to grow. The results suggest that market participants view the Chinese macroeconomic announcements primarily as a signal of the state of the global economy rather than merely of China's domestic economy.

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Bibliographic Info

Paper provided by Boston College Department of Economics in its series Boston College Working Papers in Economics with number 834.

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Date of creation: 01 Oct 2013
Date of revision: 28 Feb 2014
Handle: RePEc:boc:bocoec:834

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Keywords: announcements; China; futures markets; stock markets;

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