Does U.S. macroeconomic news make emerging financial markets riskier

Esin Cakan (), Nadia Doytch () and Kamal Upadhyaya

Borsa Istanbul Review, 2015, vol. 15, issue 1, 37-43

Abstract: This study analyzes the impacts of US macroeconomic announcement surprises on the volatility of twelve emerging stock markets by employing asymmetric GJR-GARCH model. The model includes both positive and negative surprises about inflation and unemployment rate announcements in the U.S. We find that volatility shocks are persistent and asymmetric. Asymmetric volatility increases with bad news on US inflation in five out of the twelve countries studied and it increases with a bad news on U.S. unemployment in four out of twelve countries. Asymmetric volatility decreases with good news about US employment situation in eight countries out of twelve countries. Such markets become less risky with an unexpected decrease in unemployment rate in the US. Our findings are important for demonstrating that USA economic growth and employment situation has an impact on many emerging stock markets and that positive US macroeconomic news in fact make many emerging stock markets less volatile.

Keywords: Asymmetric GARCH; Emerging markets; Macroeconomic news; Surprises (search for similar items in EconPapers)
JEL-codes: G1 (search for similar items in EconPapers)
Date: 2015
References: Add references at CitEc
Citations: View citations in EconPapers (20)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S2214845014000428 (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: https://EconPapers.repec.org/RePEc:bor:bistre:v:15:y:2015:i:1:p:37-43

Access Statistics for this article

More articles in Borsa Istanbul Review from Research and Business Development Department, Borsa Istanbul Contact information at EDIRC.
Bibliographic data for series maintained by Ahmet Palu ().