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The Impact of Foreign Macroeconomic News on Financial Markets in the Czech Republic, Hungary, and Poland

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Author Info
David Büttner () (Faculty of Business Administration and Economics, Philipps Universitaet Marburg)
Bernd Hayo () (Faculty of Business Administration and Economics, Philipps Universitaet Marburg)
Matthias Neuenkirch () (Faculty of Business Administration and Economics, Philipps Universitaet Marburg)

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Abstract

In this paper, we study the effects of euro area and US macroeconomic news on financial markets in the Czech Republic, Hungary, and Poland (CEEC-3) from 1999 to 2006. Using a GARCH model, we examine the impact on daily returns of three-month interest rates, stock market indices, exchange rates versus the euro, and the US dollar. First, foreign macroeconomic news has a significant impact on CEEC-3 financial markets. Second, neither US nor European news has a stronger effect over the whole observation period. Third, the process of European integration is accompanied by an increasing importance of euro area news relative to US news. Fourth, there are country-specific differences: the Czech markets become more affected by foreign news after the Copenhagen Summit than the other countries. Finally, testing the persistence of news over a business week confirms our main results.

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File URL: http://www.uni-marburg.de/fb02/makro/forschung/magkspapers/03-2009_BAttner.pdf
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Publisher Info
Paper provided by Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung) in its series MAGKS Papers on Economics with number 200903.

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Length: 28 pages
Date of creation: 2009
Date of revision:
Publication status: Forthcoming in
Handle: RePEc:mar:magkse:200903

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Related research
Keywords: Financial Markets; Czech Republic; Hungary; Poland; Macroeconomic News; European Monetary Union;

Find related papers by JEL classification:
G12 - Financial Economics - - General Financial Markets - - - Asset Pricing
G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
F30 - International Economics - - International Finance - - - General

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References listed on IDEAS
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  1. Engle, Robert F & Ng, Victor K, 1993. " Measuring and Testing the Impact of News on Volatility," Journal of Finance, American Finance Association, vol. 48(5), pages 1749-78, December. [Downloadable!] (restricted)
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  2. Doornik, Jurgen A. & Ooms, Marius, 2008. "Multimodality in GARCH regression models," International Journal of Forecasting, Elsevier, vol. 24(3), pages 432-448. [Downloadable!] (restricted)
  3. Fidrmuc, Jarko & Korhonen, Iikka, 2006. "Meta-analysis of the business cycle correlation between the euro area and the CEECs," Journal of Comparative Economics, Elsevier, vol. 34(3), pages 518-537, September. [Downloadable!] (restricted)
    Other versions:
  4. Rui Albuquerque & Clara Vega, 2008. "Economic News and International Stock Market Co-movement," Review of Finance, Oxford University Press for European Finance Association, vol. 13(3), pages 401-465. [Downloadable!] (restricted)
  5. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July. [Downloadable!] (restricted)
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