The effect of US macroeconomic news announcements on the Canadian stock market: Evidence using high-frequency data

Syed Mujahid Hussain*, Walid Ben Omrane

*المؤلف المقابل لهذا العمل

نتاج البحث: المساهمة في مجلةمراجعة النظراء

10 اقتباسات (Scopus)

ملخص

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.

اللغة الأصليةEnglish
رقم المقال101450
دوريةFinance Research Letters
المعرِّفات الرقمية للأشياء
حالة النشرAccepted/In press - يناير 1 2020

ASJC Scopus subject areas

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