America and the Swiss Stock Exchange: An Intraday Analysis

Claudio Loderer and Marc-André Mittermayer

Swiss Journal of Economics and Statistics (SJES), 2006, vol. 142, issue I, 79-114

Abstract: The paper examines whether and in what sense traders on the Swiss Stock Exchange (SWX) are influenced by what happens on Wall Street. According to the results, the SWX reacts strongly when U.S. macroeconomic news relevant to Wall Street is disclosed. Moreover, SWX traders seem to wait with anticipation for the Wall Street opening. And they appear to overreact to what happens on Wall Street, although this overreaction is too weak to imply a profitable trading strategy.

Keywords: Switzerland; U.S.; equity; linkages; economic news; Wall Street open; return volatility; trading volume (search for similar items in EconPapers)
JEL-codes: G10 G14 G15 (search for similar items in EconPapers)
Date: 2006
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Persistent link: https://EconPapers.repec.org/RePEc:ses:arsjes:2006-i-3

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