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Analysing the Dynamic Influence of US Macroeconomic News Releases on Turkish Stock Markets · Study

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ArticleAnalysing the Dynamic Influence of US Macroeconomic News Releases on Turkish Stock Markets

Cumhur Ekinci2019

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Analysing the Dynamic Influence of US Macroeconomic News Releases on Turkish Stock Markets

Cumhur Ekinci · Erdinç Akyıldırım · Shaen Corbet

30 citations·0/0 files stored·Finance research letters

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Financial Markets and Investment Strategies Financial Risk and Volatility Modeling Market Dynamics and Volatility

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References

2005The Sensitivity of Long-Term Interest Rates to Economic News: Evidence and Implications for Macroeconomic Models 2013How Much Do Investors Care About Macroeconomic Risk? Evidence from Scheduled Economic Announcements 2010Do Energy Prices Respond to U.S. Macroeconomic News? A Test of the Hypothesis of Predetermined Energy Prices 1998Macroeconomic news and bond market volatility1We thank Walter Toshi Baily, Bob Korajczyk, Jim Poterba, Mark Watson, seminar participants at the University of Chicago, Columbia University, Cornell University, and the University of Montreal, and especially Ludger Hentschel (the referee) for helpful comments. We also thank Mark Mitchell for supplying data, and Amy C. Ko and Sydney Ludvigson for research assistance. Lamont was supported by the FMC Faculty Research Fund at the Graduate School of Business, University of Chicago. A portion of this research was completed while Lumsdaine was a National Fellow at the Hoover Institution. We also thank the Financial Research Center at Princeton University for support. A previous version of this paper circulated as `Public Information and the Persistence of Bond Market Volatility'.1 2012U.S. Presidential Elections and Implied Volatility: The Role of Political Uncertainty 2019Cryptocurrency reaction to FOMC Announcements: Evidence of heterogeneity based on blockchain stack position 2011The effect of macroeconomic news on stock returns: New evidence from newspaper coverage 2000Do macroeconomics news releases affect gold and silver prices?

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Year2019

Typearticle

Published2019-01-01

VenueFinance research letters

ISSN-L1544-6123

Languageen

Citations30

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/j.frl.2019.04.021

openalex_workW2947401820

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