IDEAS home Printed from https://ideas.repec.org/h/wsi/wschap/9781848165106_0014.html

Effects Of Macroeconomic Announcements On Stock Returns Across Volatility Regimes

In: Marketing And Management Sciences

Author

Listed:
  • HENRY ARAY

    (Departamento de Teoría e Historia Económica, University of Granada, Campus de la Cartuja, 18011 Granada, Spain)

Abstract

This article presents evidence on the effects of macroeconomic announcements on individual stocks returns across two volatility regimes: one with high volatility and the other with low volatility. At 5% level of significance, the response of stock returns to macroeconomic announcements is much stronger in the low volatility regime. However, the effects of the Fama-French factors is unambiguously significant in both regimes.

Suggested Citation

  • Henry Aray, 2010. "Effects Of Macroeconomic Announcements On Stock Returns Across Volatility Regimes," World Scientific Book Chapters, in: Damianos P Sakas & Nikolaos Konstantopoulos (ed.), Marketing And Management Sciences, chapter 14, pages 76-80, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9781848165106_0014
    as

    Download full text from publisher

    File URL: https://www.worldscientific.com/doi/pdf/10.1142/9781848165106_0014
    Download Restriction: Ebook Access is available upon purchase.
    File URL: https://www.worldscientific.com/doi/abs/10.1142/9781848165106_0014
    Download Restriction: Ebook Access is available upon purchase.
    ---><---

    As the access to this document is restricted, you may want to look for a different version below or

    for a different version of it.

    Other versions of this item:

    More about this item

    Keywords

    ;
    ;
    ;
    ;
    ;
    ;
    ;
    ;

    JEL classification:

    • O30 - Economic Development, Innovation, Technological Change, and Growth - - Innovation; Research and Development; Technological Change; Intellectual Property Rights - - - General

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wsi:wschap:9781848165106_0014. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Tai Tone Lim (email available below). General contact details of provider: http://www.worldscientific.com/page/worldscibooks .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.