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Impact of US Macroeconomic News Announcements on Intraday Causalities on Selected European Stock Markets

Author

Listed:
  • Henryk Gurgul

    (AGH University of Science and Technology, Krakow)

  • Lukaz Lach

    (AGH University of Science and Technology, Krakow)

  • Tomasz Wojtowicz

    (AGH University of Science and Technology, Krakow)

Abstract

In this paper we examine the impact of US macroeconomic news announcements on the relationships between returns, volatility and turnover on three European stock markets operating in Frankfurt, Vienna and Warsaw. The empirical analysis in periods with and without important publicly available macroeconomic news is based on intraday data of the main indices of these stock markets, namely DAX, ATX and WIG20. Announcements of important publicly available macroeconomic news essentially increase the number of causal relationships on the markets and between them. Granger causality tests confirm the dominant role of the Frankfurt Stock Exchange. Causality running from DAX returns to returns of ATX and WIG20 is statistically significant irrespective of the time of day and the presence of important macroeconomic news announcements. The only visible feedback runs between WIG20- and DAX-related variables. We also find that most of the causal relationships between the stock exchanges in Warsaw and Vienna are implied by data from the stock exchange in Frankfurt.

Suggested Citation

  • Henryk Gurgul & Lukaz Lach & Tomasz Wojtowicz, 2016. "Impact of US Macroeconomic News Announcements on Intraday Causalities on Selected European Stock Markets," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 66(5), pages 405-425, October.
    • Handle: RePEc:fau:fauart:v:66:y:2016:i:5:p:405-425
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    References listed on IDEAS

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    More about this item

    Keywords

    Keywords: trading volume; return volatility; macroeconomic news; sequential information arrival; Granger causality;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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