The Impact of Foreign Macroeconomic News on Financial Markets in the Czech Republic, Hungary, and Poland

David Büttner (), Bernd Hayo () and Matthias Neuenkirch ()
Additional contact information
David Büttner: Faculty of Business Administration and Economics, Philipps Universitaet Marburg

No 200903, MAGKS Papers on Economics from Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung)

Abstract: In this paper, we study the effects of euro area and US macroeconomic news on financial markets in the Czech Republic, Hungary, and Poland (CEEC-3) from 1999 to 2006. Using a GARCH model, we examine the impact on daily returns of three-month interest rates, stock market indices, exchange rates versus the euro, and the US dollar. First, foreign macroeconomic news has a significant impact on CEEC-3 financial markets. Second, neither US nor European news has a stronger effect over the whole observation period. Third, the process of European integration is accompanied by an increasing importance of euro area news relative to US news. Fourth, there are country-specific differences: the Czech markets become more affected by foreign news after the Copenhagen Summit than the other countries. Finally, testing the persistence of news over a business week confirms our main results.

Keywords: Financial Markets; Czech Republic; Hungary; Poland; Macroeconomic News; European Monetary Union (search for similar items in EconPapers)
JEL-codes: G12 G15 F30 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cba, nep-eec, nep-mac, nep-mon, nep-rmg and nep-tra
Date: 2009
View list of references

Forthcoming in

Downloads: (external link)
http://www.uni-marburg.de/fb02/makro/forschung/magkspapers/03-2009_BAttner.pdf Second version, 2009 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:mar:magkse:200903

Access Statistics for this paper

More papers in MAGKS Papers on Economics from Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung)
Contact information at EDIRC.
Series data maintained by Bernd Hayo ().