Does U.S. macroeconomic news make emerging financial markets riskier?

Çakan, Esin; Doytch, Nadia; Upadhyaya, Kamal P.

doi:10.1016/j.bir.2014.10.002

Cited by 42 publications

(42 citation statements)

References 26 publications

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“…On one hand, Blanchard (1981) develop an is-lm model which in equilibrium, macroeconomic news can be good or bad depending on the state of the economy. Cutler, Poterba, and Summers (1988), Orphanides (1992), McQueen and Roley (1993), Veronesi (1999), Boyd, Hu, and Jagannathan (2005), Cakan (2012), Krueger and Fortson (2003), and Cakan, Doytch, and Upadhyaya (2015) all offer support on the notion that stock returns react to unemployment news. On the other hand, the dmp model specifically relates unemployment to job-creation incentives.…”

Section: Literature Reviewmentioning

confidence: 98%

The Unemployment-Stock Market Relationship in South Africa: Evidence from Symmetric and Asymmetric Cointegration Models

Phiri¹

2017

MGT

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In this study, we examine linear and nonlinear cointegration and causal relations between unemployment and stock market returns in South Africa using quarterly data collected between 1994:q1 and 2016:q1. Our empirical results reveal significant cointegration effects between the time series in both linear and nonlinear models, even though both frameworks ultimately reject the notion of any causal relations between the variables. Collectively, our study rejects the notion of unemployment being a good predictor for stock market returns and neither do developments in the stock market have any effect on the unemployment rate. Such evidence advocates for weak-form efficiency in the jse equity prices whereby unemployment data cannot help investors to predict the movement of future share prices and further suggests that policymakers cannot rely on stock market development as an avenue towards lowering the prevailingly high levels of unemployment as set in current macroeconomic policy objectives.

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Section: Literature Reviewmentioning

confidence: 98%

The Unemployment-Stock Market Relationship in South Africa: Evidence from Symmetric and Asymmetric Cointegration Models

Phiri¹

2017

MGT

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“…However, in these cases, returns are influenced only on the German stock market. Cakan et al (2015) suggested that there is a strong impact of U.S. news on volatility in emerging markets (including Poland, Russia, and Turkey). However, Gümüş et al (2011) are convinced that U.S. data announcements have no effect on stocks listed on the Istanbul Stock Exchange.…”

Section: Links Between Financial Variables On Stock Marketsmentioning

confidence: 99%

Price duration versus trading volume in high-frequency data for selected DAX companies

Gurgul¹,

Syrek²,

Mitterer³

2016

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“…Bernile et al (2016) conducted a study with different surprise level and succeeded in proving that there was a significant rate of return on surprise and no surprise macroeconomic news on the S & P 500 stock market. While the research conducted by Cakan et al (2015) showed a negative and positive macroeconomic surprise of the developed country had a different effect on the volatility of stock market returns in Asia Pacific countries.…”

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confidence: 93%