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Titel
Discovering and disentangling effects of US macro-announcements in European stock markets / Tobias R. Rühl and Michael Stein
VerfasserRühl, Tobias R. In der Gemeinsamen Normdatei der DNB nachschlagen ; Stein, Michael In der Gemeinsamen Normdatei der DNB nachschlagen
ErschienenBochum [u.a.] : RWI, 2014
SerieRuhr economic papers ; 500
SchlagwörterUSA In Wikipedia suchen nach USA / Ankündigung In Wikipedia suchen nach Ankündigung / Wirtschaftspolitik In Wikipedia suchen nach Wirtschaftspolitik / Europa In Wikipedia suchen nach Europa / Aktienmarkt In Wikipedia suchen nach Aktienmarkt / Wirkung In Wikipedia suchen nach Wirkung / Online-Publikation In Wikipedia suchen nach Online-Publikation
ISBN978-3-86788-574-4
URNurn:nbn:de:hbz:6:2-42329 Persistent Identifier (URN)
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Discovering and disentangling effects of US macro-announcements in European stock markets [1.1 mb]
Zusammenfassung

In this study, we analyze the effect of US macroeconomic announcements on European stock returns, return volatility and bid-ask spreads using intraday data. We find that certain announcements are generally more important to the European stock market than others, and that the direction of news is important for returns. We provide first evidence that a stock-individual analysis is crucial to disentangle overall market reactions from stock-specific impacts and that effects vary dramatically between stocks. The analysis of quoted spreads reveals that return volatility affects the spread size positively, and that spreads are systematically higher directly after news releases. This is followed by structurally lower spreads, indicating quickly decreasing asymmetric information in the market after announcements. Additionally, spreads tend to react to announcements even if the returns or the volatility of the underlying stock is not significantly affected. This points at the importance of the analysis of news events beyond return and volatility analyses.

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