Macroeconomic News and Stock Returns in the United States and Germany
AbstractUsing daily data for the January 1997 to June 2002 period, we analyze the impact of a broad set of macroeconomic news on stock prices in the United States and Germany. With GARCH specifications we test five hypotheses and find that news on real economic activity has a significant impact on stock prices. The effects vary between different types of stocks and depend on the state of the economy. In a boom period, bad economic news may be good news for stock prices. For German stock prices, international news is at least as important as domestic news. The analysis of bihourly data suggests that the main effect occurs within a short period of 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 InfoPaper provided by International Monetary Fund in its series IMF Working Papers with number 02/239.
Date of creation: 01 Dec 2002
Date of revision:
Contact details of provider:
Postal: International Monetary Fund, Washington, DC USA
Phone: (202) 623-7000
Fax: (202) 623-4661
Web page: http://www.imf.org/external/pubind.htm
More information through EDIRC
Other versions of this item:
- Norbert Funke & Akimi Matsuda, 2006. "Macroeconomic News and Stock Returns in the United States and Germany," German Economic Review, Verein für Socialpolitik, vol. 7, pages 189-210, 05.
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Douglas K. Pearce & V. Vance Roley, 1985.
"Stock Prices and Economic News,"
NBER Working Papers
1296, National Bureau of Economic Research, Inc.
- Hardouvelis, Gikas A., 1987. "Macroeconomic information and stock prices," Journal of Economics and Business, Elsevier, vol. 39(2), pages 131-140, May.
- David H. Cutler & James M. Poterba & Lawrence H. Summers, 1988.
"What Moves Stock Prices?,"
487, Massachusetts Institute of Technology (MIT), Department of Economics.
- McQueen, Grant & Roley, V Vance, 1993. "Stock Prices, News, and Business Conditions," Review of Financial Studies, Society for Financial Studies, vol. 6(3), pages 683-707.
- Alan B. Krueger & Kenneth N. Forston, 2003.
"Do Markets Respond More to More Reliable Labor Market Data? A Test of Market Rationality,"
114, Princeton University, Department of Economics, Center for Economic Policy Studies..
- Alan B. Krueger & Kenneth N. Fortson, 2003. "Do Markets Respond More to More Reliable Labor Market Data? A Test of Market Rationality," Journal of the European Economic Association, MIT Press, vol. 1(4), pages 931-957, 06.
- Alan B. Krueger, 1996. "Do Markets Respond More to More Reliable Labor Market Data? A Test of Market Rationality," NBER Working Papers 5769, National Bureau of Economic Research, Inc.
- Alan Krueger, 1996. "Do Markets Respond More To More Reliable Labor Market Data? A Test of Market Rationality," Working Papers 746, Princeton University, Department of Economics, Industrial Relations Section..
- John H. Boyd & Ravi Jagannathan & Jian Hu, 2001.
"The Stock Market's Reaction to Unemployment News: Why Bad News is Usually Good for Stocks,"
NBER Working Papers
8092, National Bureau of Economic Research, Inc.
- John H. Boyd & Jian Hu & Ravi Jagannathan, 2005. "The Stock Market's Reaction to Unemployment News: Why Bad News Is Usually Good for Stocks," Journal of Finance, American Finance Association, vol. 60(2), pages 649-672, 04.
- Zuliu Hu & Li Li, 1998. "Responses of the Stock Market to Macroeconomic Announcements Across Economic States," IMF Working Papers 98/79, International Monetary Fund.
- Michael J. Fleming & Eli M. Remolona, 1999.
"The term structure of announcement effects,"
76, Federal Reserve Bank of New York.
- Michael J. Fleming & Eli M. Remolona, 1999. "Price Formation and Liquidity in the U.S. Treasury Market: The Response to Public Information," Journal of Finance, American Finance Association, vol. 54(5), pages 1901-1915, October.
- Chen, Cathy W. S. & Chiang, Thomas C. & So, Mike K. P., 2003. "Asymmetrical reaction to US stock-return news: evidence from major stock markets based on a double-threshold model," Journal of Economics and Business, Elsevier, vol. 55(5-6), pages 487-502.
- Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, vol. 59(2), pages 347-70, March.
- Rapach, David E., 2001. "Macro shocks and real stock prices," Journal of Economics and Business, Elsevier, vol. 53(1), pages 5-26.
- Alexandra Niessen, 2007. "Media Coverage and Macroeconomic Information Processing," SFB 649 Discussion Papers SFB649DP2007-011, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Argentesi, Elena & Lütkepohl, Helmut & Motta, Massimo, 2006.
"Acquisition of Information and Share Prices: An Empirical Investigation of Cognitive Dissonance,"
CEPR Discussion Papers
5912, C.E.P.R. Discussion Papers.
- Elena Argentesi & Helmut Lütkepohl & Massimo Motta, 2010. "Acquisition of Information and Share Prices: An Empirical Investigation of Cognitive Dissonance," German Economic Review, Verein für Socialpolitik, vol. 11, pages 381-396, 08.
- Elena Argentese & Helmut Luetkepohl & Massimo Motta, 2006. "Acquisition of information and share prices: An empirical investigation of cognitive dissonance," Economics Working Papers ECO2006/32, European University Institute.
- Werner, Thomas & Stapf, Jelena, 2003. "How wacky is the DAX? The changing structure of German stock market volatility," Discussion Paper Series 1: Economic Studies 2003,18, Deutsche Bundesbank, Research Centre.
- 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.
- Wan, Yang & Clutter, Michael L. & Siry, Jacek P. & Mei, Bin, 2013. "Assessing the impact of macroeconomic news on the U.S. forest products industry portfolio across business cycles: 1963–2010," Forest Policy and Economics, Elsevier, vol. 28(C), pages 15-22.
- M. Kabir Hassan & William J. Hippler III, 2013. "The Pronounced Impact of Macroeconomic Stress on the Financial Sector: Implications for Real Sector Growth," NFI Working Papers 2013-WP-01, Indiana State University, Scott College of Business, Networks Financial Institute.
- Imane El Ouadghiri & Valerie Mignon & Nicolas Boitout, 2014. "On the impact of macroeconomic news surprises on Treasury-bond yields," EconomiX Working Papers 2014-20, University of Paris West - Nanterre la Défense, EconomiX.
- Filbien, Jean-Yves & Labondance, Fabien, 2013. "Do financial markets learn from ECB monetary policy?," Economics Letters, Elsevier, vol. 120(2), pages 271-275.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Jim Beardow) or (Hassan Zaidi).
If references are entirely missing, you can add them using this form.