Intraday impact of macroeconomic and COVID-19 news on Latin American stock indexes
Author
Abstract
Suggested Citation
DOI: 10.1016/j.gfj.2025.101103
Download full text from publisher
As the access to this document is restricted, you may want to
for a different version of it.References listed on IDEAS
- Xu, Libo, 2021. "Stock Return and the COVID-19 pandemic: Evidence from Canada and the US," Finance Research Letters, Elsevier, vol. 38(C).
- Thomas Hale & Noam Angrist & Rafael Goldszmidt & Beatriz Kira & Anna Petherick & Toby Phillips & Samuel Webster & Emily Cameron-Blake & Laura Hallas & Saptarshi Majumdar & Helen Tatlow, 2021. "A global panel database of pandemic policies (Oxford COVID-19 Government Response Tracker)," Nature Human Behaviour, Nature, vol. 5(4), pages 529-538, April.
- Pattanaporn Chatjuthamard & Pavitra Jindahra & Pattarake Sarajoti & Sirimon Treepongkaruna, 2021. "The effect of COVID‐19 on the global stock market," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 61(3), pages 4923-4953, September.
- Nils Engelhardt & Miguel Krause & Daniel Neukirchen & Peter Posch, 2020. "What Drives Stocks during the Corona-Crash? News Attention vs. Rational Expectation," Sustainability, MDPI, vol. 12(12), pages 1-12, June.
- Ben Omrane, Walid & de Bodt, Eric, 2007. "Using self-organizing maps to adjust for intra-day seasonality," Journal of Banking & Finance, Elsevier, vol. 31(6), pages 1817-1838, June.
- Tho Nguyen & Chau Ngo, 2014. "Impacts of the US macroeconomic news on Asian stock markets," Journal of Risk Finance, Emerald Group Publishing Limited, vol. 15(2), pages 149-179, March.
- Harjoto, Maretno Agus & Rossi, Fabrizio & Lee, Robert & Sergi, Bruno S., 2021. "How do equity markets react to COVID-19? Evidence from emerging and developed countries," Journal of Economics and Business, Elsevier, vol. 115(C).
- Michael Ehrmann & Marcel Fratzscher, 2005.
"Equal Size, Equal Role? Interest Rate Interdependence Between the Euro Area and the United States,"
Economic Journal, Royal Economic Society, vol. 115(506), pages 928-948, October.
- Ehrmann, Michael & Fratzscher, Marcel, 2003. "Equal size, equal role? Interest rate interdependence between the Euro area and the United States," CFS Working Paper Series 2003/46, Center for Financial Studies (CFS).
- Michael Ehrmann & Marcel Fratzscher, 2004. "Equal size, equal role? interest rate interdependence between the euro area and the United States," International Finance Discussion Papers 800, Board of Governors of the Federal Reserve System (U.S.).
- Hussain, Syed Mujahid & Ben Omrane, Walid & Al-Yahyaee, Khamis, 2020. "US macroeconomic news effects around the US and European financial crises: Evidence from Brazilian and Mexican equity indices," Global Finance Journal, Elsevier, vol. 46(C).
- Baig, Ahmed S. & Butt, Hassan Anjum & Haroon, Omair & Rizvi, Syed Aun R., 2021. "Deaths, panic, lockdowns and US equity markets: The case of COVID-19 pandemic," Finance Research Letters, Elsevier, vol. 38(C).
- Scott R. Baker & Nicholas Bloom & Steven J. Davis & Kyle J. Kost & Marco C. Sammon & Tasaneeya Viratyosin, 2020. "The Unprecedented Stock Market Impact of COVID-19," NBER Working Papers 26945, National Bureau of Economic Research, Inc.
- Bakry, Walid & Kavalmthara, Peter John & Saverimuttu, Vivienne & Liu, Yiyang & Cyril, Sajan, 2022. "Response of stock market volatility to COVID-19 announcements and stringency measures: A comparison of developed and emerging markets," Finance Research Letters, Elsevier, vol. 46(PA).
- HelinÄ LaakkOnen & Markku Lanne, 2013. "The Relevance Of Accuracy For The Impact Of Macroeconomic News On Exchange Rate Volatility," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 18(4), pages 339-351, October.
- Andersen, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Vega, Clara, 2007.
"Real-time price discovery in global stock, bond and foreign exchange markets,"
Journal of International Economics, Elsevier, vol. 73(2), pages 251-277, November.
- Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Clara Vega, 2006. "Real-time price discovery in global stock, bond and foreign exchange markets," International Finance Discussion Papers 871, Board of Governors of the Federal Reserve System (U.S.).
- Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Clara Vega, 2007. "Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets," CREATES Research Papers 2007-20, Department of Economics and Business Economics, Aarhus University.
- Aggarwal, Shobhit & Nawn, Samarpan & Dugar, Amish, 2021. "What caused global stock market meltdown during the COVID pandemic–Lockdown stringency or investor panic?," Finance Research Letters, Elsevier, vol. 38(C).
- Ben Omrane, Walid & Savaser, Tanseli & Welch, Robert & Zhou, Xinyao, 2019. "Time-varying effects of macroeconomic news on euro-dollar returns," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
- Hussain, Syed Mujahid & Ben Omrane, Walid, 2021. "The effect of US macroeconomic news announcements on the Canadian stock market: Evidence using high-frequency data," Finance Research Letters, Elsevier, vol. 38(C).
- Walid Ben Omrane & Robert Welch & Xinyao Zhou, 2020. "The dynamic effect of macroeconomic news on the euro/US dollar exchange rate," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(1), pages 84-103, January.
- Ben Omrane, Walid & Savaşer, Tanseli, 2016. "The sign switch effect of macroeconomic news in foreign exchange markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 45(C), pages 96-114.
- Fratzscher, Marcel, 2009.
"What explains global exchange rate movements during the financial crisis?,"
Journal of International Money and Finance, Elsevier, vol. 28(8), pages 1390-1407, December.
- Fratzscher, Marcel, 2009. "What explains global exchange rate movements during the financial crisis?," Working Paper Series 1060, European Central Bank.
- Ayadi, Mohamed A. & Ben Omrane, Walid & Das, Deepan Kumar, 2024. "Macroeconomic news, senior officials' speeches, and emerging currency markets: An intraday analysis of price jump reaction," Emerging Markets Review, Elsevier, vol. 60(C).
- BEN OMRANE, Walid & DE BODT, Eric, 2007. "Using self-organizing maps to adjust for intra-day seasonality," LIDAM Reprints CORE 1959, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Teresia Angelia Kusumahadi & Fikri C Permana, 2021. "Impact of COVID-19 on Global Stock Market Volatility," Journal of Economic Integration, Center for Economic Integration, Sejong University, vol. 36(1), pages 20-45.
- Anasuya Haldar & Narayan Sethi, 2021. "The News Effect Of Covid-19 On Global Financial Market Volatility," Bulletin of Monetary Economics and Banking, Bank Indonesia, vol. 24(Special I), pages 33-58, January.
- Oleg Kucher & Alexander Kurov & Marketa Halova Wolfe, 2023. "A shot in the arm: The effect of COVID‐19 vaccine news on financial and commodity markets," The Financial Review, Eastern Finance Association, vol. 58(3), pages 575-596, August.
- Ayadi, Mohamed A. & Ben Omrane, Walid & Wang, Jiayu & Welch, Robert, 2022. "Senior official speech attributes and foreign exchange risk around business cycles," International Review of Financial Analysis, Elsevier, vol. 80(C).
- Ben Omrane, Walid & Savaşer, Tanseli, 2017. "Exchange rate volatility response to macroeconomic news during the global financial crisis," International Review of Financial Analysis, Elsevier, vol. 52(C), pages 130-143.
- Araújo, Tanya & Eleutério, Samuel & Louçã, Francisco, 2018. "Do sentiments influence market dynamics? A reconstruction of the Brazilian stock market and its mood," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 505(C), pages 1139-1149.
- Tho Nguyen & Chau Ngo, 2014. "Impacts of the US macroeconomic news on Asian stock markets," Journal of Risk Finance, Emerald Group Publishing, vol. 15(2), pages 149-179, March.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Ayadi, Mohamed A. & Ben Omrane, Walid & Panah, Pari Gholi, 2025. "Foreign exchange markets, climate risks and contextual news: An intraday analysis," International Review of Financial Analysis, Elsevier, vol. 102(C).
- Ben Omrane, Walid & Tao, Yusi & Welch, Robert, 2017. "Scheduled macro-news effects on a Euro/US dollar limit order book around the 2008 financial crisis," Research in International Business and Finance, Elsevier, vol. 42(C), pages 9-30.
- Ayadi, Mohamed A. & Ben Omrane, Walid & Das, Deepan Kumar, 2024. "Macroeconomic news, senior officials' speeches, and emerging currency markets: An intraday analysis of price jump reaction," Emerging Markets Review, Elsevier, vol. 60(C).
- Walid Ben Omrane & Robert Welch & Xinyao Zhou, 2020. "The dynamic effect of macroeconomic news on the euro/US dollar exchange rate," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(1), pages 84-103, January.
- Li, Yanshuang & Shi, Yujie & Shi, Yongdong & Xiong, Xiong & Yi, Shangkun, 2024. "Time-frequency extreme risk spillovers between COVID-19 news-based panic sentiment and stock market volatility in the multi-layer network: Evidence from the RCEP countries," International Review of Financial Analysis, Elsevier, vol. 94(C).
- Ben Omrane, Walid & Savaser, Tanseli & Welch, Robert & Zhou, Xinyao, 2019. "Time-varying effects of macroeconomic news on euro-dollar returns," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
- Emre BULUT & Ahmed İhsan ŞİMŞEK, 2023. "The Relationship Between the Stock Market Volatility, Liquidity, Exchange Rate Return, and Stock Return During the COVID-19 Period: The case of the BIST 100 Index," Bingol University Journal of Economics and Administrative Sciences, Bingol University, Faculty of Economics and Administrative Sciences, vol. 7(1), pages 121-135, June.
- Marcel Fratzscher & Daniel Schneider & Ine Van Robays, 2013.
"Oil Prices, Exchange Rates and Asset Prices,"
Discussion Papers of DIW Berlin
1302, DIW Berlin, German Institute for Economic Research.
- Schneider, Daniel & Van Robays, Ine & Fratzscher, Marcel, 2014. "Oil prices, exchange rates and asset prices," Working Paper Series 1689, European Central Bank.
- Marcel Fratzscher & Daniel Schneider & Ine Van Robays, 2013. "Oil Prices, Exchange Rates and Asset Prices," CESifo Working Paper Series 4264, CESifo.
- Matthias Neuenkirch & Maria Repko & Enzo Weber, 2022.
"Hawks and Doves: Financial Market Perception of Western Support for Ukraine,"
Working Papers
398, Leibniz Institut für Ost- und Südosteuropaforschung (Leibniz Institute for East and Southeast European Studies).
- Matthias Neuenkirch & Maria Repko & Enzo Weber, 2023. "Hawks and Doves: Financial Market Perception of Western Support for Ukraine," Research Papers in Economics 2023-03, University of Trier, Department of Economics.
- Matthias Neuenkirch & Maria Repko & Enzo Weber, 2023. "Hawks and Doves: Financial Market Perception of Western Support for Ukraine," Working Paper Series 2023-02, University of Trier, Research Group Quantitative Finance and Risk Analysis.
- Neuenkirch, Matthias & Repko, Maria & Weber, Enzo, 2023. "Hawks and Doves: Financial Market Perception of Western Support for Ukraine," IAB-Discussion Paper 202301, Institut für Arbeitsmarkt- und Berufsforschung (IAB), Nürnberg [Institute for Employment Research, Nuremberg, Germany].
- Hasan, Md. Tanvir, 2022. "The sum of all SCARES COVID-19 sentiment and asset return," The Quarterly Review of Economics and Finance, Elsevier, vol. 86(C), pages 332-346.
- Lin Xiao & Vesarach Aumeboonsuke, 2022. "Co-Integration among COVID-19, Investor Sentiment, and the Stock Market," Humanities and Social Sciences Letters, Conscientia Beam, vol. 10(4), pages 492-510.
- Richard Mawulawoe Ahadzie & Dan Daugaard & Moses Kangogo & Faisal Khan & Joaquin Vespignani, 2024.
"COVID‐19, Mobility Restriction Policies and Stock Market Volatility: A Cross‐Country Empirical Study,"
Economic Papers, The Economic Society of Australia, vol. 43(2), pages 184-203, June.
- Ahadzie, Richard Mawulawoe & Daugaard, Dan & Kangogo, Moses & Khan, Faisal & Vespignani, Joaquin, 2023. "Covid-19, Mobility Restriction Policies and Stock Market Volatility: A Cross-Country Empirical Study," Working Papers 2023-03, University of Tasmania, Tasmanian School of Business and Economics.
- Richard Mawulawoea Ahadzie & Dan Daugaard & Moses Kangogo & Faisal Khan & Joaquin Vespignani, 2023. "COVID-19, Mobility Restriction Policies and Stock Market Volatility: A Cross-Country Empirical Study," CAMA Working Papers 2023-40, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Lu Zhang & Lei Hua, 2025. "Major Issues in High-Frequency Financial Data Analysis: A Survey of Solutions," Mathematics, MDPI, vol. 13(3), pages 1-40, January.
- Lin, Zih-Ying & Lu, Jia-Wen, 2024. "The impact of COVID-19 on global investor attention," Pacific-Basin Finance Journal, Elsevier, vol. 88(C).
- Walid Ben Omrane & Khaled Guesmi & Qi Qianru & Samir Saadi, 2023. "The high-frequency impact of macroeconomic news on jumps and co-jumps in the cryptocurrency markets," Annals of Operations Research, Springer, vol. 330(1), pages 177-209, November.
- Yee - Ee Chia & Ricky Chee - Jiun Chia & Mohd Ashari Bakri, 2023. "COVID-19 and stock liquidity: Evidence from top 30 Kuala Lumpur composite index," Economics Bulletin, AccessEcon, vol. 43(1), pages 280-294.
- Wojciech Charemza & Svetlana Makarova & Krzysztof Rybiński, 2023. "Anti-pandemic restrictions, uncertainty and sentiment in seven countries," Economic Change and Restructuring, Springer, vol. 56(1), pages 1-27, February.
- Ayadi, Mohamed A. & Ben Omrane, Walid & Wang, Jiayu & Welch, Robert, 2022. "Senior official speech attributes and foreign exchange risk around business cycles," International Review of Financial Analysis, Elsevier, vol. 80(C).
- Annika Fischer & Noel Opala & Svend Reuse & Martin Svoboda, 2022. "The Impact of the Corona Crisis on the Worldwide Stock Markets: An Empirical Analysis with Cross National Event Study Approach," International Journal of Economics and Financial Issues, Econjournals, vol. 12(6), pages 162-172, November.
- Jonathan Kearns & Andreas Schrimpf & Fan Dora Xia, 2023.
"Explaining Monetary Spillovers: The Matrix Reloaded,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 55(6), pages 1535-1568, September.
- Jonathan Kearns & Andreas Schrimpf & Dora Xia, 2018. "Explaining Monetary Spillovers: The Matrix Reloaded," BIS Working Papers 757, Bank for International Settlements.
- Schrimpf, Paul & Kearns, Jonathan & XIA, Fan Dora, 2020. "Explaining Monetary Spillovers: The Matrix Reloaded," CEPR Discussion Papers 15006, C.E.P.R. Discussion Papers.
- Jonathan Kearns & Andreas Schrimpf & Fan Dora Xia, 2019. "Explaining Monetary Spillovers: The Matrix Reloaded," RBA Research Discussion Papers rdp2019-03, Reserve Bank of Australia.
More about this item
Keywords
; ; ; ;JEL classification:
- G3 - Financial Economics - - Corporate Finance and Governance
- F4 - International Economics - - Macroeconomic Aspects of International Trade and Finance
- F3 - International Economics - - International Finance
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:glofin:v:65:y:2025:i:c:s1044028325000304. See general information about how to correct material in RePEc.
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 CitEc recognized a bibliographic reference but did not link an item in RePEc 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 RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/inca/620162 .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.