International equity market comovements: Economic fundamentals or contagion?

Connolly, Robert A.; Wang, F.Albert

doi:10.1016/s0927-538x(02)00060-4

Cited by 153 publications

(32 citation statements)

References 27 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…16 Ehrmann uses a structural VAR approach. 17 Connolly and Wang (2003) test for economic news spillovers between the US, UK and Japan and find evidence of significant spillovers, particularly from the US to Japan. 18 An exception is Stevenson (2002) who looks at the impact of German interest rate changes on European bank stocks.…”

Section: Influence Of Uk Monetary Policy On German Returnsmentioning

confidence: 99%

European Monetary Policy Surprises: The Aggregate and Sectoral Stock Market Response

et al. 2007

View full text Add to dashboard Cite

In this paper we investigate the stock market response to international monetary policy changes in the UK and Germany. Specifically, we analyse the impact of (un)expected changes in UK and German/euro area policy rates on UK and German aggregate and sectoral stock returns in an event study. The decomposition of the (un)expected changes in policy rates are based on futures markets. Overall, our results suggest that, UK monetary policy surprises have a significant negative influence on both aggregate and industry level stock returns in both the UK and Germany. The influence of German/Euro area monetary policy shocks appears insignificant for both countries.

show abstract

Section: Influence Of Uk Monetary Policy On German Returnsmentioning

confidence: 99%

European Monetary Policy Surprises: The Aggregate and Sectoral Stock Market Response

et al. 2007

View full text Add to dashboard Cite

show abstract

“…I find that announcements that affect Thailand's volatility (U.S. EMPNF and Japanese IPI) and U.S. Federal Open Market Committee (FOMC) decisions induce large and significant short-lived increases in trading volume for Thailand (on average they last about 45 minutes). As for the Korean market, the same announcements that affect its volatility (Japanese MPM and IPI) also have a large and significant short-lived 5 To my knowledge, Connolly and Wang (2002) is the only paper which defines information as macroeconomic announcements that studies the transmission of information in an international context. This paper differs from Connolly and Wang (2002) in that 1) they use open and close prices to proxy for intraday movement; 2) they focus on returns which can be problematic as described further below; and 3) they study transmission among the U.S., U.K., and Japan.…”

Section: Introductionmentioning

confidence: 99%

Transmission of Information Across International Equity Markets

Wongswan¹

2003

SSRN Journal

102

View full text Add to dashboard Cite

This paper provides evidence of transmission of information from the U.S. and Japan to Korean and Thai equity markets during the period from 1995 through 2000. Information is defined as important macroeconomic announcements in the U.S., Japan, Korea, and Thailand. Using high-frequency intraday data, I focus the study on return volatility and trading volume because the implications of new information are much clearer than for returns. I find a large and significant association between emerging-economy equity volatility and trading volume and developed-economy macroeconomic announcements at short-time horizons. This is the first strong evidence of this sort of international information transmission. Previous studies' findings of at most weak evidence may be due to their use of lower frequency data and their focus on developed-economy financial market innovations as the measure of information.

show abstract

“…This observation suggests that one source of market return co-movements may be macroeconomic announcements. Connolly and Wang (2003) and McQueen and Roley (1993) present evidence to test this "public information hypothesis". In order to evaluate this view, we examine the question of how the stock indices react to economic information emanating from Germany, the Eurozone and UK.…”

Section: Introductionmentioning

confidence: 90%

“…Based upon on a different argument, Connolly and Wang (2003) explain the return co-movements for the U.S., U.K. and Japanese equity markets with an imperfect learning theoretical model. They examine the return co-movements in these equity markets with a focus on the distinction between economic fundamentals and contagion.…”

Section: Introductionmentioning

confidence: 99%