The impact of foreign macroeconomic news on financial markets in the Czech Republic, Hungary, and Poland
In this paper, we investigate the effects of euro area and US macroeconomic news on financial markets in the Czech Republic, Hungary, and Poland (CEEC-3) from 1999 to 2006. Using a GARCH model, we examine the impact of news on daily returns of three-month interest rates, stock market indices, exchange rates versus the euro, and the US dollar. First, both US and European macroeconomic news has a significant impact on CEEC-3 financial markets. Second, the process of European integration is accompanied by an increasing importance of euro area news relative to US news. Third, there are country-specific differences: for example, the Czech stock market is relatively more affected by foreign news since the Copenhagen Summit in December 2002. In general, our results support the hypothesis of a deepening euro area influence on the CEEC-3 over time and a corresponding reduction in the relative importance of US shocks.
(This abstract was borrowed from another version of this item.)
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Evzen Kocenda & Jan Hanousek, 2010.
"Foreign News and Spillovers in Emerging European Stock Markets,"
William Davidson Institute Working Papers Series
wp983, William Davidson Institute at the University of Michigan.
- Jan Hanousek & Evžen Kočenda, 2011. "Foreign News and Spillovers in Emerging European Stock Markets," Review of International Economics, Wiley Blackwell, vol. 19(1), pages 170-188, 02.
- Jan Hanousek & Evzen Kocenda, 2009. "Intraday Price Discovery in Emerging European Stock Markets," CERGE-EI Working Papers wp382, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
- Tim Bollerslev, 1986.
"Generalized autoregressive conditional heteroskedasticity,"
EERI Research Paper Series
EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
- Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
- David Büttner & Bernd Hayo, 2008.
"EMU-related News and Financial Markets in the Czech Republic, Hungary and Poland,"
MAGKS Papers on Economics
200815, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
- D Büttner & B. Hayo, 2012. "EMU-related news and financial markets in the Czech Republic, Hungary and Poland," Applied Economics, Taylor & Francis Journals, vol. 44(31), pages 4037-4053, November.
- Bernd Hayo & David Buettner, 2011. "EMU-related News and Financial Markets in the Czech Republic, Hungary and Poland," Post-Print hal-00716632, HAL.
- Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Clara Vega, 2007.
"Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets,"
CREATES Research Papers
2007-20, Department of Economics and Business Economics, Aarhus University.
- 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.
- Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Clara Vega, 2006. "Real-time price discovery in global stock, bond and foreign exchange markets," International Finance Discussion Papers 871, Board of Governors of the Federal Reserve System (U.S.).
- Büttner, David & Hayo, Bernd, 2011.
"Determinants of European stock market integration,"
Elsevier, vol. 35(4), pages 574-585.
- Hanousek, Jan & Kocenda, Evzen & Kutan, Ali M., 2009.
"The reaction of asset prices to macroeconomic announcements in new EU markets: Evidence from intraday data,"
Journal of Financial Stability,
Elsevier, vol. 5(2), pages 199-219, June.
- Jan Hanousek & Evzen Kocenda & Ali M. Kutan, 2008. "The Reaction of Asset Prices to Macroeconomic Announcements in New EU Markets: Evidence from Intraday Data," CERGE-EI Working Papers wp349, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
- Rui Albuquerque & Clara Vega, 2009. "Economic News and International Stock Market Co-movement," Review of Finance, European Finance Association, vol. 13(3), pages 401-465.
- Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
- Robert F. Engle & Victor K. Ng, 1991.
"Measuring and Testing the Impact of News on Volatility,"
NBER Working Papers
3681, National Bureau of Economic Research, Inc.
- Engle, Robert F & Ng, Victor K, 1993. " Measuring and Testing the Impact of News on Volatility," Journal of Finance, American Finance Association, vol. 48(5), pages 1749-78, December.
- Nikkinen, Jussi & Sahlstrom, Petri, 2004. "Scheduled domestic and US macroeconomic news and stock valuation in Europe," Journal of Multinational Financial Management, Elsevier, vol. 14(3), pages 201-215, July.
- Fidrmuc, Jarko & Korhonen, Iikka, 2006.
"Meta-analysis of the business cycle correlation between the euro area and the CEECs,"
Journal of Comparative Economics,
Elsevier, vol. 34(3), pages 518-537, September.
- Jarko Fidrmuc & Iikka Korhonen, 2006. "Meta-Analysis of the Business Cycle Correlation between the Euro Area and the CEECs," CESifo Working Paper Series 1693, CESifo Group Munich.
- Balduzzi, Pierluigi & Elton, Edwin J. & Green, T. Clifton, 2001. "Economic News and Bond Prices: Evidence from the U.S. Treasury Market," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 36(04), pages 523-543, December.
- Doornik, Jurgen A. & Ooms, Marius, 2008. "Multimodality in GARCH regression models," International Journal of Forecasting, Elsevier, vol. 24(3), pages 432-448.
- Kocenda, Evzen & Valachy, Juraj, 2006.
"Exchange rate volatility and regime change: A Visegrad comparison,"
Journal of Comparative Economics,
Elsevier, vol. 34(4), pages 727-753, December.
- Juraj Valachy & Evžen Ko?enda, 2003. "Exchange Rate Regimes and Volatility: Comparison of the Snake and Visegrad," William Davidson Institute Working Papers Series 2003-622, William Davidson Institute at the University of Michigan.
When requesting a correction, please mention this item's handle: RePEc:kap:empiri:v:39:y:2012:i:1:p:19-44. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Sonal Shukla)or (Rebekah McClure)
If references are entirely missing, you can add them using this form.