Does Regular Economic News from Emerging Countries Move Markets? Evidence from Chinese Macro Announcements
AbstractWe 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 InfoPaper provided by Boston College Department of Economics in its series Boston College Working Papers in Economics with number 834.
Date of creation: 01 Oct 2013
Date of revision: 28 Feb 2014
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announcements; China; futures markets; stock markets;
Find related papers by JEL classification:
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- F44 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - International Business Cycles
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