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Foreign news and the structure of co-movement in European equity markets: An intraday analysis

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  • Ben Omrane, Walid
  • Hussain, Syed Mujahid

Abstract

We investigate European equity market volatility responses to foreign macroeconomic surprises. We measure the length of the response and decompose the news effect into direct and indirect components. The latter is induced by volatility transmission between equity markets. We show that 50 percent of the total accumulated impact of US macroeconomic news on the DAX 30 and CAC 40 volatilities is attained after 90min. We find that the news announcements have significant direct impacts on both European indices but the indirect effect on the French index is stronger than that on the German.

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  • Ben Omrane, Walid & Hussain, Syed Mujahid, 2016. "Foreign news and the structure of co-movement in European equity markets: An intraday analysis," Research in International Business and Finance, Elsevier, vol. 37(C), pages 572-582.
    • Handle: RePEc:eee:riibaf:v:37:y:2016:i:c:p:572-582
    DOI: 10.1016/j.ribaf.2016.01.021
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    More about this item

    Keywords

    Macroeconomic news; Impulse response analysis; Volatility; High-frequency data;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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