International Equity Market Comovements: Economic Fundamentals or Contagion?

Changes in the international comovement of stock returns and asymmetric macroeconomic shocks

“…2 and 3 is that changes in the international comovement of stock returns are not systematically linked to asymmetric macroeconomic shocks. This picture corroborates the results reported by Connolly and Wang (2003), who found that the comovement Fig. 3.…”

International transmission of stock exchange volatility: Empirical evidence from the Asian crisis

“…Overall, our results support the hypothesis that volatility was transferred around the world during the Asian crisis by contagion or noisy transmission of news and not by links in economic fundamentals. Our results are consistent with those reported in Connolly and Wang (2003), who analyze international equity market comovements between the United States, UK, and Japan. These authors suggest that previous foreign market sessions have an economically significant impact on subsequent domestic returns.…”

Global stock market reactions to scheduled U.S. macroeconomic news announcements

“…Although the order of importance of macroeconomic news releases is likely to be the same on all stock markets, their general importance to stock market investors can be expected to vary across different economic areas. Previously, the overseas impact of the U.S. macroeconomic news on stock markets has been documented by Becker, Finnerty, and Friedmam (1995) for U.K. stock market, Kim (2003) for advanced Asia-Pacific stock markets, Connolly and Wang (2003) for U.S., U.K. and Japan stock markets, and Nikkinen and Sahlström (2004a) for German and Finnish stock markets. 1 The purpose of this study is to examine the impact of scheduled U.S. macroeconomic news announcements on global stock markets reactions.…”

“…While the spillover literature investigates return and volatility transmissions across countries, this study examines how the widely followed macroeconomic news announcements from the world's largest economy affect volatilities on different stock markets worldwide. Furthermore, while Nasseh and Strauss (2000) and Connolly and Wang (2003) investigate whether the development in economic fundamentals around world markets can explain return co-movements between them, this paper directly examines how important U.S. macroeconomic news releases affect uncertainty on international stock markets on the event day. Second, the paper extends the studies by Becker et al (1995), Kim (2003), and Nikkinen and Sahlström (2004a).…”