Foreign news and the structure of co-movement in European equity markets: An intraday analysis

Walid Ben Omrane and Syed Mujahid Hussain

Research in International Business and Finance, 2016, vol. 37, issue C, 572-582

Abstract: We investigate European equity market volatility responses to foreign macroeconomic surprises. We measure the length of the response and decompose the news effect into direct and indirect components. The latter is induced by volatility transmission between equity markets. We show that 50 percent of the total accumulated impact of US macroeconomic news on the DAX 30 and CAC 40 volatilities is attained after 90min. We find that the news announcements have significant direct impacts on both European indices but the indirect effect on the French index is stronger than that on the German.

Keywords: Macroeconomic news; Impulse response analysis; Volatility; High-frequency data (search for similar items in EconPapers)
JEL-codes: G14 G15 (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:37:y:2016:i:c:p:572-582

DOI: 10.1016/j.ribaf.2016.01.021

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