The effect of US macroeconomic news announcements on the Canadian stock market: Evidence using high-frequency data

Syed Mujahid Hussain and Walid Ben Omrane

Finance Research Letters, 2021, vol. 38, issue C

Abstract: We analyze the impact of US macroeconomic news announcements on the Canadian benchmark stock index return and volatility using high-frequency 5-min data. Our findings reveal that several US news releases exert a statistically significant influence on the Canadian stock market return and volatility. Moreover, we show that during the 2008 US recession, slightly more US news announcements exhibit significant impacts on the Canadian equity returns, with relatively pronounced effects. Overall, our results support previous findings by suggesting that US macroeconomic fundamentals form a linkage between Canadian and US financial markets.

Keywords: Intraday volatility; macroeconomic news announcements; financial crisis, High-frequency data (search for similar items in EconPapers)
JEL-codes: G14 G15 (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:38:y:2021:i:c:s1544612319301485

DOI: 10.1016/j.frl.2020.101450

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