Foreign News and Spillovers in Emerging European Stock Markets

Abstract

We analyze foreign news and spillovers in the emerging EU stock markets (the Czech Republic, Hungary, and Poland). We employ high‐frequency five‐minute intraday data on stock market index returns and four classes of EU and US macroeconomic announcements during 2004–07. We account for the difference of each announcement from its market expectation and we jointly model the volatility of the returns accounting for intraday movements and day‐of‐the‐week effects. Our findings show that intraday interactions on the new EU markets are strongly determined by mature stock markets as well as the macroeconomic news originating thereby. We show that strong contemporaneous links across markets are present even after controlling for macroeconomic announcements. Finally, in terms of specific announcements, we are able to show the exact sources of macro news spillovers from the developed foreign markets to the three new EU markets under research.

Investigating Equilibrium Relationship between Macroeconomic Variables and Malaysian Stock Market Index through Bounds Tests Approach

“…Also, it concludes that all variables are co-integrated with LSMI t in the long-run and any deviations may occur in the short-run. The results are confirmed with others results studies (Chaudhuri and Smiles, 2004;Hanousek and Kocenda, 2011;Ibrahim and Aziz, 2003).…”

“…At the same time, numerous studies analyzed the relationships between macroeconomic variables and stock market indices using GARCH volatility time-series models (Bhar and Malliaris, 2011;Chen, 2009;Erdem et al, 2005;Hanousek and Kocenda, 2011;Hsing, 2011;Hsing and Hsieh, 2012;Kim et al, 2004;Nguyen, 2011;Rangel, 2011). Also, the results indicated that the conditional volatility of macroeconomic variables significantly influence stock market indices.…”

“…PPI and CPI were collected from Malaysian department of statistics (www.statistics.gov.my). According to the theory variables (M3, ER, GDP, PPI and CPI) could influence stock market indices either positively or negatively (Chaudhuri and Smiles, 2004;Hanousek and Kocenda, 2011;Ibrahim and Aziz, 2003). To stabilize the variables variances and to remove the seasonality, the variables transformations into natural logarithmic forms were used (Montgomery et al, 2008), except ER to make this variable simultaneous with other variables (Chen et al, 1986).…”

Surprise Effect of Euro Area Macroeconomic Announcements on CIVETS Stock Markets

“…Hanousek and Kočenda, 2011). For that reason, we define possible impact on the stock markets of CIVETS as hypothetical effects of macroeconomic news surprises.…”

“…In this survey a group of economists reveal their expectations about future macroeconomic indicator values. As the expectations are often not in the form of stock market index value, but in the units of the respective macroeconomic indicators, the news surprises are calculated and standardized to facilitate interpretation by using the following approach (for similar way of surprise calculation see Balduzzi et al, 2001, andKočenda, 2011):…”