More on the impact of US macroeconomic announcements: Evidence from French and German stock markets' volatility
This paper investigates the impact of US scheduled macroeconomic announcements on the domestic, the French and the German market, respectively using an augmented version of the multivariate DCC-GARCH model. Our setting allows to separate the direct effect (common response), from the indirect effect (volatility transmission) of the US macroeconomic announcements on the two European markets. Empirical results show evidence of a direct reaction of French and German investors to some common as well as specific US macroeconomic news. More interestingly, a significant bidirectional volatility spillover after the release of some macroeconomic news is found to be apparent, either between the US and German markets or between the US and French markets, although the French market shows a more sensitivity to US macroeconomic surprises than the German market. These findings suggest a stronger integration of the US stock market with the French market rather than with the German market.
Volume (Year): 32 (2012)
Issue (Month): 2 ()
|Contact details of provider:|| |
References listed on IDEAS
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.:
- Andrea Monticini & David Peel & Giacomo Vaciago, 2010.
"The Impact of ECB and FED announcements on the Euro Interest Rates,"
DEP - series of economic working papers
2/2010, University of Genoa, Research Doctorate in Public Economics.
- Monticini, Andrea & Peel, David & Vaciago, Giacomo, 2011. "The impact of ECB and FED announcements on the Euro interest rates," Economics Letters, Elsevier, vol. 113(2), pages 139-142.
- Angelos Kanas, 2000.
"Volatility Spillovers Between Stock Returns and Exchange Rate Changes: International Evidence,"
Journal of Business Finance & Accounting,
Wiley Blackwell, vol. 27(3-4), pages 447-467.
- Angelos Kanas, 2000. "Volatility Spillovers Between Stock Returns and Exchange Rate Changes: International Evidence," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 27(3&4), pages 447-467.
- Michel Beine & Gunther Capelle-Blancard & Helene Raymond, 2008.
"International nonlinear causality between stock markets,"
The European Journal of Finance,
Taylor & Francis Journals, vol. 14(8), pages 663-686.
- Gunther Capelle-Blancard & Hélène Raymond-Feingold & Michel Beine, 2008. "International nonlinear causality between stock markets," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00305387, HAL.
- Michel Beine & Gunther G. Capelle-Blancard & Hélène Raymond, 2008. "International nonlinear causality between stock markets," ULB Institutional Repository 2013/167466, ULB -- Universite Libre de Bruxelles.
- Michael J. Fleming & Eli M. Remolona, 1997.
"What moves the bond market?,"
Economic Policy Review,
Federal Reserve Bank of New York, issue Dec, pages 31-50.
- Jon Wongswan, 2006.
"Transmission of Information across International Equity Markets,"
Review of Financial Studies,
Society for Financial Studies, vol. 19(4), pages 1157-1189.
- Jon Wongswan, 2003. "Transmission of information across international equity markets," International Finance Discussion Papers 759, Board of Governors of the Federal Reserve System (U.S.).
- Bauwens, Luc & Ben Omrane, Walid & Giot, Pierre, 2005.
"News announcements, market activity and volatility in the euro/dollar foreign exchange market,"
Journal of International Money and Finance,
Elsevier, vol. 24(7), pages 1108-1125, November.
- BAUWENS, Luc & BEN OMRANE, Walid & GIOT, Pierre, "undated". "News announcements, market activity and volatility in the euro/dollar foreign exchange market," CORE Discussion Papers RP 1787, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- BAUWENS, Luc & BEN OMRANE, Walid & GIOT, Pierre, 2003. "News announcements, market activity and volatility in the Euro/Dollar foreign exchange market," CORE Discussion Papers 2003029, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Ben Omrane, Walid & Heinen, Andréas, 2010. "Public news announcements and quoting activity in the Euro/Dollar foreign exchange market," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2419-2431, November.
- Chen, Yu-Lun & Gau, Yin-Feng, 2010. "News announcements and price discovery in foreign exchange spot and futures markets," Journal of Banking & Finance, Elsevier, vol. 34(7), pages 1628-1636, July.
- Chatrath, Arjun & Ramchander, Sanjay & Song, Frank, 1995. "Are market perceptions of corporate layoffs changing?," Economics Letters, Elsevier, vol. 47(3-4), pages 335-342, March.
- Robert F. Engle & Jose Gonzalo Rangel, 2008. "The Spline-GARCH Model for Low-Frequency Volatility and Its Global Macroeconomic Causes," Review of Financial Studies, Society for Financial Studies, vol. 21(3), pages 1187-1222, May.
- Galil, Koresh & Soffer, Gil, 2011. "Good news, bad news and rating announcements: An empirical investigation," Journal of Banking & Finance, Elsevier, vol. 35(11), pages 3101-3119, November.
- Hamao, Yasushi & Masulis, Ronald W & Ng, Victor, 1990. "Correlations in Price Changes and Volatility across International Stock Markets," Review of Financial Studies, Society for Financial Studies, vol. 3(2), pages 281-307.
- Diavatopoulos, Dean & Doran, James S. & Fodor, Andy & Peterson, David R., 2012. "The information content of implied skewness and kurtosis changes prior to earnings announcements for stock and option returns," Journal of Banking & Finance, Elsevier, vol. 36(3), pages 786-802.
- Elder, John & Miao, Hong & Ramchander, Sanjay, 2012. "Impact of macroeconomic news on metal futures," Journal of Banking & Finance, Elsevier, vol. 36(1), pages 51-65.
When requesting a correction, please mention this item's handle: RePEc:ebl:ecbull:eb-12-00138. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (John P. Conley)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.