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The impact of US news on the German stock market—An event study analysis

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  • Dimpfl, Thomas

Abstract

This paper investigates the impact of the opening of US stock markets on the German stock market. Quantiles of the S&P 500 return distribution are used to distinguish good, bad, and no news days. We find that the German market reacts to the US news announcements which typically precede the opening of the NYSE. The opening of the market itself and the beginning of trading is not found to affect the DAX. On calm days there is no measurable impact. Once important news is transmitted, it is processed rapidly. Volatility is found to be significantly higher on news days.

Suggested Citation

  • Dimpfl, Thomas, 2011. "The impact of US news on the German stock market—An event study analysis," The Quarterly Review of Economics and Finance, Elsevier, vol. 51(4), pages 389-398.
  • Handle: RePEc:eee:quaeco:v:51:y:2011:i:4:p:389-398
    DOI: 10.1016/j.qref.2011.07.005
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    References listed on IDEAS

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    Cited by:

    1. Singh, Manohar & Nejadmalayeri, Ali & Lucey, Brian, 2013. "Do U.S. macroeconomic surprises influence equity returns? An exploratory analysis of developed economies," The Quarterly Review of Economics and Finance, Elsevier, vol. 53(4), pages 476-485.
    2. repec:exl:2manag:v:17:y:2016:i:2:p:217-240 is not listed on IDEAS
    3. Henryk Gurgul & Łukasz Lach & Tomasz Wójtowicz, 2016. "Linear and nonlinear intraday causalities in response to U.S. macroeconomic news announcements: Evidence from Central Europe," Managerial Economics, AGH University of Science and Technology, vol. 17(2), pages 217-240, December.
    4. Dimitrios I. Vortelinos, 2015. "The Effect of Macro News on Volatility and Jumps," Annals of Economics and Finance, Society for AEF, vol. 16(2), pages 425-447, November.
    5. Henryk Gurgul & Tomasz Wójtowicz, 2014. "The impact of US macroeconomic news on the Polish stock market," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 22(4), pages 795-817, December.
    6. repec:pal:assmgt:v:17:y:2016:i:5:d:10.1057_jam.2016.20 is not listed on IDEAS

    More about this item

    Keywords

    Event study; News impact; Spillover; Volatility; Price discovery;

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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