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

Walid Ben Omrane; Syed Mujahid Hussain

doi:10.1016/j.ribaf.2016.01.021

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

Economics & Finance

Research output: Contribution to journal › Article › peer-review

3 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 language	English
Pages (from-to)	572-582
Number of pages	11
Journal	Research in International Business and Finance
Volume	37
DOIs	https://doi.org/10.1016/j.ribaf.2016.01.021
Publication status	Published - May 1 2016

Keywords

High-frequency data
Impulse response analysis
Macroeconomic news
Volatility

ASJC Scopus subject areas

Business, Management and Accounting (miscellaneous)
Finance

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10.1016/j.ribaf.2016.01.021

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

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.",

keywords = "High-frequency data, Impulse response analysis, Macroeconomic news, Volatility",

author = "{Ben Omrane}, Walid and Hussain, {Syed Mujahid}",

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N2 - 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.

AB - 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.

KW - High-frequency data

KW - Impulse response analysis

KW - Macroeconomic news

KW - Volatility

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JO - Research in International Business and Finance

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ER -

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

Abstract

Keywords

ASJC Scopus subject areas

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