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

Walid Ben Omrane, Syed Mujahid Hussain

Research output: Contribution to journalArticle

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

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Indirect effects
Comovement
Equity markets
News
Macroeconomics
Volatility transmission
Market volatility
News announcements
Surprise
Macroeconomic news
Direct effect

Keywords

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

ASJC Scopus subject areas

  • Business, Management and Accounting (miscellaneous)
  • Finance

Cite this

Foreign news and the structure of co-movement in European equity markets : An intraday analysis. / Ben Omrane, Walid; Hussain, Syed Mujahid.

In: Research in International Business and Finance, Vol. 37, 01.05.2016, p. 572-582.

Research output: Contribution to journalArticle

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