Do U.S. macroeconomic surprises influence equity returns? An exploratory analysis of developed economies

Manohar Singh, Ali Nejadmalayeri () and Brian Lucey

The Quarterly Review of Economics and Finance, 2013, vol. 53, issue 4, 476-485

Abstract: Given the dominant role the U.S. economy plays in global trade, we explore how U.S. macroeconomic surprises affect stock markets in ten major developed economies as well as in China and India. We do not find strong enough evidence to conclude that U.S. macro shocks materially and consistently influence equity returns and volatilities in the economies studied. Consistent with previous research, it appears that only in few markets are return levels materially influenced by macro surprises generated in the U.S. Also, only a small number of macro shocks seem to be of any consistent significance. For returns levels, inflation, productivity, consumer confidence, and retail sales seem to matter. At the same time, conditional volatilities appear to be influenced by inflation, retail sales, durable goods, industrial production, consumer confidence, gross domestic product, and trade balance surprises. Finally, our exploratory analysis indicates that the degree of bilateral trade connectedness may partially explain the extent to which macroeconomic surprises are transmitted across countries.

Keywords: Macroeconomic news; International financial markets; Stock returns and volatility (search for similar items in EconPapers)
JEL-codes: F36 F37 G12 G15 (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (9)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:quaeco:v:53:y:2013:i:4:p:476-485

DOI: 10.1016/j.qref.2013.05.002

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