The impact of US news on the German stock market—An event study analysis

Thomas Dimpfl

The Quarterly Review of Economics and Finance, 2011, vol. 51, issue 4, 389-398

Abstract: This paper investigates the impact of the opening of US stock markets on the German stock market. Quantiles of the S&P 500 return distribution are used to distinguish good, bad, and no news days. We find that the German market reacts to the US news announcements which typically precede the opening of the NYSE. The opening of the market itself and the beginning of trading is not found to affect the DAX. On calm days there is no measurable impact. Once important news is transmitted, it is processed rapidly. Volatility is found to be significantly higher on news days.

Keywords: Event study; News impact; Spillover; Volatility; Price discovery (search for similar items in EconPapers)
JEL-codes: C22 C50 G14 (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (12)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:quaeco:v:51:y:2011:i:4:p:389-398

DOI: 10.1016/j.qref.2011.07.005

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