More on the impact of US macroeconomic announcements: Evidence from French and German stock markets' volatility
Aymen Belgacem () and
Economics Bulletin, 2012, vol. 32, issue 2, 1509-1526
This paper investigates the impact of US scheduled macroeconomic announcements on the domestic, the French and the German market, respectively using an augmented version of the multivariate DCC-GARCH model. Our setting allows to separate the direct effect (common response), from the indirect effect (volatility transmission) of the US macroeconomic announcements on the two European markets. Empirical results show evidence of a direct reaction of French and German investors to some common as well as specific US macroeconomic news. More interestingly, a significant bidirectional volatility spillover after the release of some macroeconomic news is found to be apparent, either between the US and German markets or between the US and French markets, although the French market shows a more sensitivity to US macroeconomic surprises than the German market. These findings suggest a stronger integration of the US stock market with the French market rather than with the German market.
Keywords: Stock Prices; Macroeconomic Announcements, Volatility Spillovers, Market integration. (search for similar items in EconPapers)
JEL-codes: C5 G1 (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3) Track citations by RSS feed
Downloads: (external link)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:ebl:ecbull:eb-12-00138
Access Statistics for this article
More articles in Economics Bulletin from AccessEcon
Bibliographic data for series maintained by John P. Conley ().