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U.S. Macroeconomic News and International Stock Prices: Evidence from Newspaper Coverage

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  • Gene Birz
  • Sandip Dutta

Abstract

Existing studies provide mixed evidence that the U.S. macroeconomic news impacts international stock prices. We believe this may be related to the fact that economic surprises may not capture how investors interpret macroeconomic releases in various economic conditions. Consequently, we follow Birz and Lott (2011) and use newspaper coverage of economic releases as a measure of news. We argue that in addition to capturing the surprise component of macroeconomic releases, newspaper coverage provide interpretation of these releases similarly to how investors may interpret them in various economic conditions. Out of 15 examined international stock markets, we find that the U.S. macroeconomic news impacts stock returns of 12 countries.

Suggested Citation

  • Gene Birz & Sandip Dutta, 2016. "U.S. Macroeconomic News and International Stock Prices: Evidence from Newspaper Coverage," Accounting and Finance Research, Sciedu Press, vol. 5(1), pages 247-247, February.
    • Handle: RePEc:jfr:afr111:v:5:y:2016:i:1:p:247
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    References listed on IDEAS

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    1. 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.
    2. 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.
    3. Birz, Gene & Lott Jr., John R., 2011. "The effect of macroeconomic news on stock returns: New evidence from newspaper coverage," Journal of Banking & Finance, Elsevier, vol. 35(11), pages 2791-2800, November.
    4. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Clara Vega, 2003. "Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange," American Economic Review, American Economic Association, vol. 93(1), pages 38-62, March.
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    More about this item

    JEL classification:

    • R00 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General - - - General
    • Z0 - Other Special Topics - - General

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