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Intraday CAC40, DAX and WIG20 returns when the American macro news is announced

  • Barbara Będowska-Sójka

    ()

    (Poznań University of Economics, Faculty of Informatics and Electronic Economy, Department of Econometrics)

We examine the reaction of the returns of CAC40, DAX and WIG20 to the periodically scheduled prominent American macroeconomic data announcements. We investigate returns and volatility dynamics at the time of news arrival as well as interdependence between series within the time of the announcements. The results suggest that the macro announcements from the U.S. market not only explain seasonality observed in these equity markets but also have a significant impact on both returns and volatility. However, the reactions to announcements are different with respect to the type of announcement. Application of dynamic conditional correlation models allows us to decompose the total impact of announcements into the reaction on the domestic market and conditional correlation between the markets.

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Article provided by National Bank of Poland, Economic Institute in its journal Bank i Kredyt.

Volume (Year): 41 (2010)
Issue (Month): 2 ()
Pages: 7-20

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Handle: RePEc:nbp:nbpbik:v:41:y:2010:i:2:p:7-20
Note: This work was financed from the Polish science budget resources in the years 2007–2010 as the research project NN 111 1256 33. Barbara Będowska-Sójka is grateful to participants of 2 conferences: FindEcon 2009 in Łódź and Dynamic Econometric Modelling 2009 in Toruń for helpful suggestions.
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  1. Engle, Robert F, 1998. "Macroeconomic Announcements and Volatility of Treasury Futures," University of California at San Diego, Economics Working Paper Series qt7rd4g3bk, Department of Economics, UC San Diego.
  2. Jérôme Lahaye & Sébastien Laurent & Christopher J. Neely, 2011. "Jumps, cojumps and macro announcements," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 26(6), pages 893-921, 09.
  3. Black, Fischer, 1976. "The pricing of commodity contracts," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 167-179.
  4. Wood, Robert A & McInish, Thomas H & Ord, J Keith, 1985. " An Investigation of Transactions Data for NYSE Stocks," Journal of Finance, American Finance Association, vol. 40(3), pages 723-39, July.
  5. 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.
  6. Andersen, Torben G. & Bollerslev, Tim, 1997. "Intraday periodicity and volatility persistence in financial markets," Journal of Empirical Finance, Elsevier, vol. 4(2-3), pages 115-158, June.
  7. Engle, Robert, 2002. "Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(3), pages 339-50, July.
  8. Ederington, Louis H & Lee, Jae Ha, 1993. " How Markets Process Information: News Releases and Volatility," Journal of Finance, American Finance Association, vol. 48(4), pages 1161-91, September.
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