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America and the Swiss Stock Exchange: An Intraday Analysis

Author

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  • Claudio Loderer
  • Marc-André Mittermayer

Abstract

The paper examines whether and in what sense traders on the Swiss Stock Exchange (SWX) are influenced by what happens on Wall Street. According to the results, the SWX reacts strongly when U.S. macroeconomic news relevant to Wall Street is disclosed. Moreover, SWX traders seem to wait with anticipation for the Wall Street opening. And they appear to overreact to what happens on Wall Street, although this overreaction is too weak to imply a profitable trading strategy.

Suggested Citation

  • Claudio Loderer & Marc-André Mittermayer, 2006. "America and the Swiss Stock Exchange: An Intraday Analysis," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 142(I), pages 79-114, March.
  • Handle: RePEc:ses:arsjes:2006-i-3
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    References listed on IDEAS

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    More about this item

    Keywords

    Switzerland; U.S.; equity; linkages; economic news; Wall Street open; return volatility; trading volume;

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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