US macroeconomic news effects around the US and European financial crises: Evidence from Brazilian and Mexican equity indices

Syed Mujahid Hussain*, Walid Ben Omrane, Khamis Al-Yahyaee

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

Abstract

We examine the intraday index return and volatility responses of two Latin American equity markets to US macroeconomic news releases around the periods of the US and European financial crises. We find that while index return is more sensitive than volatility to macroeconomic news in general, the five-minute Brazilian and Mexican index volatilities respond especially strongly to US news surprises, with the Brazilian response being more pronounced, especially during the expansion period. Among the macroeconomic indicators tested, FOMC rate decisions exhibit the highest impact on volatility, and there is evidence of asymmetric response to positive versus negative news.

Original languageEnglish
Article number100482
JournalGlobal Finance Journal
Volume46
DOIs
Publication statusPublished - Nov 1 2020

Keywords

  • Emerging markets
  • Financial crisis
  • Intraday volatility
  • Macroeconomic news

ASJC Scopus subject areas

  • Finance
  • Economics and Econometrics

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