Macroeconomic News and Stock Returns in the United States and Germany

Norbert Funke · Akimi Matsuda

50 citations0/0 files storedGerman Economic Review

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

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

Abstract

Abstract Using daily data for the January 1997 to June 2002 period, we analyze similarities and differences in the impact of macroeconomic news on stock returns in the United States and Germany. We consider 27 different types of news for the United States and 12 different types of news for Germany. For the United States, we present evidence for asymmetric reactions of stock prices to news. In a boom (recession) period, bad (good) news on GDP growth and unemployment or lower (higher) than expected interest rates may be good news for stock prices. In the period under consideration there is little evidence for asymmetric effects in Germany. However, in the case of Germany, international news appears at least as important as domestic news. There is no evidence that US stock prices are influenced by German news. The analysis of bi-hourly data for Germany confirms these results.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 50 citations exist upstream.

References

1991Conditional Heteroskedasticity in Asset Returns: A New Approach 1993Dynamic Asset Pricing Theory.1992The Effect of Bond Rating Agency Announcements on Bond and Stock Prices 1999Stock Market Overreactions to Bad News in Good Times: A Rational Expectations Equilibrium Model 1993How Markets Process Information: News Releases and Volatility 1999Price Formation and Liquidity in the U.S. Treasury Market: The Response to Public Information 1985Stock Prices and Economic News 1996The Creation and Resolution of Market Uncertainty: The Impact of Information Releases on Implied Volatility

Cited by

2008How do commodity futures respond to macroeconomic news?2011Mirror or Molder? A Study of Media Coverage, Stock Prices, and Trading Volumes in Germany 2019Complexity of ECB Communication and Financial Market Trading 2015The impact of macroeconomic and financial stress on the U.S. financial sector 2008Explanatory factors of the inflation news impact on stock returns by sector: The Spanish case

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

Imported from OpenAlex (CC0) — nothing here is generated.