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The US macroeconomic news announcements and the within-month effects on the Bucharest Stock Exchange

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

Abstract

Within-month anomalies and influence of macroeconomic news announcements are important characteristics of a stock market. In this paper we investigate their presence on Bucharest Stock Exchange. We find significant within-month effects and a considerable impact of some US macroeconomic news announcements. It results also that within-month effects are in fact caused by macroeconomic news announcements.

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File URL: http://mpra.ub.uni-muenchen.de/41626/
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Bibliographic Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 41626.

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Date of creation: 11 Oct 2011
Date of revision: 11 Oct 2011
Handle: RePEc:pra:mprapa:41626

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Related research

Keywords: Within-month effects; Macroeconomic news announcements; Romanian capital market;

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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, vol. 14(3), pages 201-215, July.
  2. Susmel, Raul & Engle, Robert F., 1994. "Hourly volatility spillovers between international equity markets," Journal of International Money and Finance, Elsevier, vol. 13(1), pages 3-25, February.
  3. Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, vol. 25(2), pages 383-417, May.
  4. Jeffrey R. Gerlach, 2007. "Macroeconomic News And Stock Market Calendar And Weather Anomalies," Journal of Financial Research, Southern Finance Association & Southwestern Finance Association, vol. 30(2), pages 283-300.
  5. Josef Lakonishok & Andrei Shleifer & Richard Thaler & Robert Vishny, 1991. "Window Dressing by Pension Fund Managers," NBER Working Papers 3617, National Bureau of Economic Research, Inc.
  6. Michael Graham & Jussi Nikkinen & Petri Sahlström, 2003. "Relative importance of scheduled macroeconomic news for stock market investors," Journal of Economics and Finance, Springer, vol. 27(2), pages 153-165, June.
  7. Nikkinen, Jussi & Omran, Mohammed & Sahlstrom, Petri & Aijo, Janne, 2006. "Global stock market reactions to scheduled U.S. macroeconomic news announcements," Global Finance Journal, Elsevier, vol. 17(1), pages 92-104, September.
  8. Peterson, David R., 1990. "Stock Return Seasonalities and Earnings Information," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 25(02), pages 187-201, June.
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