The US macroeconomic news announcements and the within-month effects on the Bucharest Stock Exchange
Within-month anomalies and influence of macroeconomic news announcements are important characteristics of a stock market. In this paper we investigate their presence on Bucharest Stock Exchange. We find significant within-month effects and a considerable impact of some US macroeconomic news announcements. It results also that within-month effects are in fact caused by macroeconomic news announcements.
|Date of creation:||11 Oct 2011|
|Date of revision:||11 Oct 2011|
|Publication status:||Published in Proceedings of the International Conference „EDUCATION AND CREATIVITY FOR A KNOWLEDGE SOCIETY”- 5 edition November 2011, Bucharest Economic Sciences (2011): pp. 178-183|
|Contact details of provider:|| Postal: Ludwigstraße 33, D-80539 Munich, Germany|
Web page: https://mpra.ub.uni-muenchen.de
More information through EDIRC
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.:
- Lakonishok, Josef, et al, 1991. "Window Dressing by Pension Fund Managers," American Economic Review, American Economic Association, vol. 81(2), pages 227-231, May.
- Susmel, Raul & Engle, Robert F., 1994. "Hourly volatility spillovers between international equity markets," Journal of International Money and Finance, Elsevier, vol. 13(1), pages 3-25, February.
- Peterson, David R., 1990. "Stock Return Seasonalities and Earnings Information," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 25(02), pages 187-201, June.
- Jeffrey R. Gerlach, 2007. "Macroeconomic News And Stock Market Calendar And Weather Anomalies," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 30(2), pages 283-300.
- Michael Graham & Jussi Nikkinen & Petri Sahlström, 2003. "Relative importance of scheduled macroeconomic news for stock market investors," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 27(2), pages 153-165, June.
- Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, vol. 25(2), pages 383-417, May.
- 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.
- Nikkinen, Jussi & Omran, Mohammed & Sahlstrom, Petri & Aijo, Janne, 2006. "Global stock market reactions to scheduled U.S. macroeconomic news announcements," Global Finance Journal, Elsevier, vol. 17(1), pages 92-104, September.
When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:41626. 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: (Joachim Winter)
If references are entirely missing, you can add them using this form.