Do international markets overreact? Event study: International market reaction to U.S. local news events

Saud Asaad Al-Thaqeb

Research in International Business and Finance, 2018, vol. 44, issue C, 369-385

Abstract: This event study surveys the relationship between the returns of 26 international markets and the U.S. Using local events experienced in the U.S., I measure the reaction of international markets to major U.S. political, economic, environmental, and national security events. I document that international markets show an under-reaction to positive local events in the U.S. and an over-reaction to negative local events in the U.S., especially when the events are unexpected. The economic factors could not these findings. The empirical findings support the influence of U.S. local events in the international scale and show how it effects investor sentiments in other markets.

Keywords: Event study; U.S. local news; International stock markets (search for similar items in EconPapers)
JEL-codes: F30 F37 G15 (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:44:y:2018:i:c:p:369-385

DOI: 10.1016/j.ribaf.2017.07.106

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