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The effect of macroeconomic announcements at a sectoral level in the US and European Union

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  • Anderson, Hamish D.
  • Balli, Faruk
  • Godber, Cara

Abstract

This paper examines macroeconomic announcement shocks on United States (US) and European Union (EU) sectoral indices. We first examine unexpected (surprise) macroeconomic announcements and then decompose the surprise announcements further into positive and negative shocks. There are significant differences in announcement effects between the US and the EU markets with US macroeconomic announcements being more influential than EU announcements. Sector returns are more responsive to macroeconomic news shocks when decomposed into positive and negative components, as well as being more consistent with the predicted relationships. There is also some evidence of an asymmetric announcement reaction to positive and negative shocks. As sectors respond differently to the global and regional shocks this implies they are not fully integrated and indicates possible risk diversification.

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  • Anderson, Hamish D. & Balli, Faruk & Godber, Cara, 2018. "The effect of macroeconomic announcements at a sectoral level in the US and European Union," Research in International Business and Finance, Elsevier, vol. 44(C), pages 256-272.
    • Handle: RePEc:eee:riibaf:v:44:y:2018:i:c:p:256-272
    DOI: 10.1016/j.ribaf.2017.07.095
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    1. Corbet, Shaen & Dunne, John James & Larkin, Charles, 2019. "Quantitative easing announcements and high-frequency stock market volatility: Evidence from the United States," Research in International Business and Finance, Elsevier, vol. 48(C), pages 321-334.
    2. A. Edwin Prabu & Indranil Bhattacharyya & Partha Ray, 2020. "Impact of monetary policy on the Indian stock market: Does the devil lie in the detail?," Indian Economic Review, Springer, vol. 55(1), pages 27-50, June.
    3. Camilleri, Silvio John & Scicluna, Nicolanne & Bai, Ye, 2019. "Do stock markets lead or lag macroeconomic variables? Evidence from select European countries," The North American Journal of Economics and Finance, Elsevier, vol. 48(C), pages 170-186.

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    More about this item

    Keywords

    Stock market; Macroeconomic news; Market expectations;
    All these keywords.

    JEL classification:

    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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