Surprise Effect of Euro Area Macroeconomic Announcements on CIVETS Stock Markets

Laura Wallenius, Elena John (Fedorova) (), Sheraz Ahmed and Mikael Collan

Prague Economic Papers, 2017, vol. 2017, issue 1, 55-71

Abstract: The macroeconomic announcements and their effects on stock markets are considered to be a measure of stock market integration. Earlier studies show that integrated stock markets exhibit immediate reaction to international macroeconomic news, whereas partially integrated or segmented markets mostly do not react to such announcements. This paper investigates the effect of surprises disguised in the macroeconomic announcements made by the European Monetary Union on CIVETS (Colombia, Indonesia, Vietnam, Egypt, Turkey, and South Africa) stock markets. Daily stock market data starting from January 1, 2007 to December 31, 2012 is analysed. The impact of macroeconomic announcements is estimated by using EGARCH model. The results show that the returns of four out of six CIVETS stock markets significantly react on the day of macroeconomic announcements, whereas the market volatility of all markets is affected due to the EMU's announcements. The results also show that not all types of announcements have significant impact on returns and volatilities in CIVETS, highlighting the importance of the contents of macroeconomic surprises.

Keywords: macroeconomic announcements; integration; spillovers; emerging markets; CIVETS (search for similar items in EconPapers)
JEL-codes: C32 F36 G12 G15 (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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DOI: 10.18267/j.pep.594

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