Discovering And Disentangling The Effects Of Us Macro Announcements For European Stocks

Download or read book Discovering and Disentangling the Effects of US Macro-Announcements for European Stocks written by Tobias Rühl and published by . This book was released on 2015 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this study, we analyze the effects of US macroeconomic announcements on European stock returns, return volatility and bid-ask spreads using intraday data. While an index-based analysis provides expected outcomes of differing importance of macro-economic announcements, we provide first evidence on stock-specific reactions. The study further contributes by disentangling stock-specific impacts from overall market reactions. A spread analysis 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.