Foreign news and the structure of co-movement in European equity markets: An intraday analysis

Walid Ben Omrane*, Syed Mujahid Hussain

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

2 Citations (Scopus)

Abstract

We investigate European equity market volatility responses to foreign macroeconomic surprises. We measure the length of the response and decompose the news effect into direct and indirect components. The latter is induced by volatility transmission between equity markets. We show that 50 percent of the total accumulated impact of US macroeconomic news on the DAX 30 and CAC 40 volatilities is attained after 90 min. We find that the news announcements have significant direct impacts on both European indices but the indirect effect on the French index is stronger than that on the German.

Original languageEnglish
Pages (from-to)572-582
Number of pages11
JournalResearch in International Business and Finance
Volume37
DOIs
Publication statusPublished - May 1 2016

Keywords

  • High-frequency data
  • Impulse response analysis
  • Macroeconomic news
  • Volatility

ASJC Scopus subject areas

  • Business, Management and Accounting (miscellaneous)
  • Finance

Fingerprint Dive into the research topics of 'Foreign news and the structure of co-movement in European equity markets: An intraday analysis'. Together they form a unique fingerprint.

Cite this