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Impact of the domestic and the US macroeconomic news on the Romanian stock market

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  • Stefanescu, Razvan
  • Dumitriu, Ramona
  • Nistor, Costel

Abstract

This paper explores the effects of domestic and US macroeconomic announcement on the Romanian stock market. We found that some domestic macroeconomic announcement linked by the monetary policy had a consistent influence on the stock prices evolution. We also identify that some US macroeconomic news have a significant impact on the Romanian stock exchange, a fact explained by the linkages between the Romanian stock market and the international financial markets.

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File URL: http://mpra.ub.uni-muenchen.de/41623/
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Bibliographic Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 41623.

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Date of creation: 08 Sep 2011
Date of revision: 08 Sep 2011
Handle: RePEc:pra:mprapa:41623

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Keywords: Macroeconomic News Announcement; Romanian Stock Market; Financial Linkages;

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  1. Nikkinen, Jussi & Sahlstrom, Petri, 2004. "Scheduled domestic and US macroeconomic news and stock valuation in Europe," Journal of Multinational Financial Management, Elsevier, Elsevier, vol. 14(3), pages 201-215, July.
  2. Bilson, Christopher M. & Brailsford, Timothy J. & Hooper, Vincent J., 2001. "Selecting macroeconomic variables as explanatory factors of emerging stock market returns," Pacific-Basin Finance Journal, Elsevier, Elsevier, vol. 9(4), pages 401-426, August.
  3. Fama, Eugene F, 1981. "Stock Returns, Real Activity, Inflation, and Money," American Economic Review, American Economic Association, American Economic Association, vol. 71(4), pages 545-65, September.
  4. Ederington, Louis H & Lee, Jae Ha, 1993. " How Markets Process Information: News Releases and Volatility," Journal of Finance, American Finance Association, American Finance Association, vol. 48(4), pages 1161-91, September.
  5. Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, American Finance Association, vol. 25(2), pages 383-417, May.
  6. Mark J. Flannery & Aris A. Protopapadakis, 2002. "Macroeconomic Factors Do Influence Aggregate Stock Returns," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 15(3), pages 751-782.
  7. Nasseh, Alireza & Strauss, Jack, 2000. "Stock prices and domestic and international macroeconomic activity: a cointegration approach," The Quarterly Review of Economics and Finance, Elsevier, Elsevier, vol. 40(2), pages 229-245.
  8. Christie-David, Rohan & Chaudhry, Mukesh & Koch, Timothy W., 2000. "Do macroeconomics news releases affect gold and silver prices?," Journal of Economics and Business, Elsevier, Elsevier, vol. 52(5), pages 405-421.
  9. Michael Graham & Jussi Nikkinen & Petri Sahlström, 2003. "Relative importance of scheduled macroeconomic news for stock market investors," Journal of Economics and Finance, Springer, Springer, vol. 27(2), pages 153-165, June.
  10. Wongbangpo, Praphan & Sharma, Subhash C., 2002. "Stock market and macroeconomic fundamental dynamic interactions: ASEAN-5 countries," Journal of Asian Economics, Elsevier, Elsevier, vol. 13(1), pages 27-51.
  11. George Hondroyiannis & Evangelia Papapetrou, 2001. "Macroeconomic influences on the stock market," Journal of Economics and Finance, Springer, Springer, vol. 25(1), pages 33-49, March.
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