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Volume 66, Issue 5

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Impact of US Macroeconomic News Announcements on Intraday Causalities on Selected European Stock Markets

Gurgul, Henryk; Lach, Lukasz; Wójtowicz, Tomasz

Year: 2016   Volume: 66   Issue: 5   Pages: 405-425

Abstract: In this paper we examine the impact of US macroeconomic news announcements on the relationships between returns, volatility and turnover on three European stock markets operating in Frankfurt, Vienna and Warsaw. The empirical analysis in periods with and without important publicly available macroeconomic news is based on intraday data of the main indices of these stock markets, namely DAX, ATX and WIG20. Announcements of important publicly available macroeconomic news essentially increase the number of causal relationships on the markets and between them. Granger causality tests confirm the dominant role of the Frankfurt Stock Exchange. Causality running from DAX returns to returns of ATX and WIG20 is statistically significant irrespective of the time of day and the presence of important macroeconomic news announcements. The only visible feedback runs between WIG20- and DAX-related variables. We also find that most of the causal relationships between the stock exchanges in Warsaw and Vienna are implied by data from the stock exchange in Frankfurt.

JEL classification: G12, G14

Keywords: trading volume, return volatility, macroeconomic news, sequential information arrival, Granger causality

RePEc: http://ideas.repec.org/a/fau/fauart/v66y2016i5p405-425.html

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