TY - JOUR
T1 - The effect of US macroeconomic news announcements on the Canadian stock market
T2 - Evidence using high-frequency data
AU - Hussain, Syed Mujahid
AU - Ben Omrane, Walid
N1 - Publisher Copyright:
© 2020 Elsevier Inc.
PY - 2020
Y1 - 2020
N2 - We analyze the impact of US macroeconomic news announcements on the Canadian benchmark stock index return and volatility using high-frequency 5-min data. Our findings reveal that several US news releases exert a statistically significant influence on the Canadian stock market return and volatility. Moreover, we show that during the 2008 US recession, slightly more US news announcements exhibit significant impacts on the Canadian equity returns, with relatively pronounced effects. Overall, our results support previous findings by suggesting that US macroeconomic fundamentals form a linkage between Canadian and US financial markets.
AB - We analyze the impact of US macroeconomic news announcements on the Canadian benchmark stock index return and volatility using high-frequency 5-min data. Our findings reveal that several US news releases exert a statistically significant influence on the Canadian stock market return and volatility. Moreover, we show that during the 2008 US recession, slightly more US news announcements exhibit significant impacts on the Canadian equity returns, with relatively pronounced effects. Overall, our results support previous findings by suggesting that US macroeconomic fundamentals form a linkage between Canadian and US financial markets.
KW - Intraday volatility
KW - financial crisis, High-frequency data
KW - macroeconomic news announcements
UR - http://www.scopus.com/inward/record.url?scp=85078879401&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=85078879401&partnerID=8YFLogxK
UR - https://www.mendeley.com/catalogue/8cd6eab6-d10c-3282-ade9-2bf5bd8169eb/
U2 - 10.1016/j.frl.2020.101450
DO - 10.1016/j.frl.2020.101450
M3 - Article
AN - SCOPUS:85078879401
SN - 1544-6123
VL - 38
JO - Finance Research Letters
JF - Finance Research Letters
M1 - 101450
ER -