Macroeconomic News and Stock Returns in the United States and Germany

 
Author/Editor: Funke, Norbert ; Matsuda, Akimi
 
Publication Date: December 01, 2002
 
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Disclaimer: This Working Paper should not be reported as representing the views of the IMF. The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate
 
Summary: Using daily data for the January 1997 to June 2002 period, we analyze the impact of a broad set of macroeconomic news on stock prices in the United States and Germany. With GARCH specifications we test five hypotheses and find that news on real economic activity has a significant impact on stock prices. The effects vary between different types of stocks and depend on the state of the economy. In a boom period, bad economic news may be good news for stock prices. For German stock prices, international news is at least as important as domestic news. The analysis of bihourly data suggests that the main effect occurs within a short period of time.
 
Series: Working Paper No. 02/239
Subject(s): Stock markets | United States | Germany

Author's Keyword(s): Stock markets | macroeconomic news
 
English
Publication Date: December 01, 2002
ISBN/ISSN: 1934-7073 Format: Paper
Stock No: WPIEA2392002 Pages: 30
Price:
US$15.00 (Academic Rate:
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