US macroeconomic news effects around the US and European financial crises: Evidence from Brazilian and Mexican equity indices

Syed Mujahid Hussain, Walid Ben Omrane and Khamis Al-Yahyaee

Global Finance Journal, 2020, vol. 46, issue C

Abstract: We examine the intraday index return and volatility responses of two Latin American equity markets to US macroeconomic news releases around the periods of the US and European financial crises. We find that while index return is more sensitive than volatility to macroeconomic news in general, the five-minute Brazilian and Mexican index volatilities respond especially strongly to US news surprises, with the Brazilian response being more pronounced, especially during the expansion period. Among the macroeconomic indicators tested, FOMC rate decisions exhibit the highest impact on volatility, and there is evidence of asymmetric response to positive versus negative news.

Keywords: Intraday volatility; Emerging markets; Macroeconomic news; Financial crisis (search for similar items in EconPapers)
JEL-codes: G14 G15 (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:glofin:v:46:y:2020:i:c:s1044028319300109

DOI: 10.1016/j.gfj.2019.100482

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