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The Impact of Foreign Macroeconomic News on Financial Markets in the Czech Republic, Hungary, and Poland

David Büttner (), Bernd Hayo () and Matthias Neuenkirch ()
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David Büttner: Philipps-University Marburg

No 200903, MAGKS Papers on Economics from Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung)

Abstract: In this paper, we investigate the effects of euro area and US macroeconomic news on financial markets in the Czech Republic, Hungary, and Poland (CEEC-3) from 1999 to 2006. Using a GARCH model, we examine the impact of news on daily returns of three-month interest rates, stock market indices, exchange rates versus the euro, and the US dollar. First, both US and European macroeconomic news has a significant impact on CEEC-3 financial markets. Second, the process of European integration is accompanied by an increasing importance of euro area news relative to US news. Third, there are country-specific differences: for example, the Czech stock market is relatively more affected by foreign news since the Copenhagen Summit in December 2002. In general, our results support the hypothesis of a deepening euro area influence on the CEEC-3 over time and a corresponding reduction in the relative importance of US shocks.

Keywords: Czech Republic; European Monetary Union; Financial Markets; Hungary; Macroeconomic News; Poland (search for similar items in EconPapers)
JEL-codes: G12 G15 F30 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cba, nep-eec, nep-mac, nep-mon, nep-rmg and nep-tra
Date: 2009
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http://www.uni-marburg.de/fb02/makro/forschung/magkspapers/03-2009_buettner.pdf Fourth version, 2010 (application/pdf)

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Journal Article: The impact of foreign macroeconomic news on financial markets in the Czech Republic, Hungary, and Poland (2012) Downloads
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Persistent link: https://EconPapers.repec.org/RePEc:mar:magkse:200903

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