The effect of US macroeconomic news announcements on the Canadian stock market: Evidence using high-frequency data

Hussain, Syed Mujahid; Omrane, Walid Ben

doi:10.1016/j.frl.2020.101450

Cited by 25 publications

(16 citation statements)

References 7 publications

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“…Hussain & Omrane [19] employed high-frequency 5-min data to examine the impact of U.S. macroeconomic news announcements on the Canadian benchmark stock return and uncertainty.…”

Section: Literature Reviewmentioning

confidence: 99%

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Daily Stock Movements Through the Lens of Event and News: Evidence from the Pakistan Stock Exchange

Shahid¹,

Sun²,

Pk³

2021

Preprint

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This study will investigate different signals and events/news that determined the stock market's movements. As we know, many factors affect the stock market on a daily, weekly, and monthly basis, e.g., rate of interest, exchange rate, and oil prices, etc. Our research will investigate the impact of daily events/news in the KSE-100 index due to several policies announced and events/news in the country because the daily movements in the stock market can be determined only by different signals and events/news. Time series data is collected daily for particular reasons from "The News" (Daily Newspaper, Sunday edition) from 2010 to 2019. The results of this study show that political and global news affects the stock market index ferociously. For investors, the investment in blue chips is not less than a safe haven. When day-to-day transactions are concerned, there is always a higher panic attack than the herd behaviour in the stock exchange. Investors tend to make prompt responses to negative rather than positive news, which makes them risk averters. Our finding also confirmed that the ARCH/GARCH model is better than the simple OLS method concerning stock market upheaval.

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“…Hussain & Omrane [19] employed high-frequency 5-min data to examine the impact of U.S. macroeconomic news announcements on the Canadian benchmark stock return and uncertainty.…”

Section: Literature Reviewmentioning

confidence: 99%

“…Researchers [19,43] found the influence of market prices(gold and oil) on stock and exchange prices. It implies that variations of gold and oil prices, in other words, the news related to price changes, have influenced the stock exchange.…”

Section: Literature Reviewmentioning

confidence: 99%

Daily Stock Movements Through the Lens of Event and News: Evidence from the Pakistan Stock Exchange

Shahid¹,

Sun²,

Pk³

2021

Preprint

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“…Aunado a lo anterior, la pandemia de la COVID-19 no fue la única fuente de riesgo sistemático para los mercados financieros mundiales, puesto que también se han visto gravemente afectados por la caída del precio del petróleo, que ya venía a la baja y se agudizó aún más por las restricciones de los viajes y el bajo crecimiento de la producción en China y en los países europeos (Sharif et al, 2020). Por consiguiente, la CEPAL (2020) señala que la pandemia por la COVID-19 puede afectar de forma importante a la economía mundial, incluso a una escala mayor que los efectos causados por la crisis de 2008-2009. En este mismo orden de ideas, existen múltiples estudios que abordan los efectos en la economía de las pandemias y crisis sanitarias, entre la literatura financiera que aborda el impacto económico de los virus de efecto pandémico se destacan los trabajos de Fan (2003) Así pues, la literatura financiera es amplia en cuanto a los impactos financieros en las cotizaciones bursátiles como consecuencia de eventos derivados del contexto económico, político, social y ambiental, en el que se destacan por su relevancia las aportaciones relativas a desastres naturales (Kowalewski y Śpiewanowski, 2020; Lee y Chen, 2019), deportes (Buhagiar, Cortis y Newall, 2018;Curatola, Donadelli, Kizys y Riedel, 2016), noticias altamente difundidas en los medios (Li, 2018;Hussain y Omrane, 2020), acontecimientos ambientales (Alsaifi, Elnahass y Salama, 2020; Guo, Kuai y Liu, 2019) y acontecimientos políticos (Bash y Alsaifi, 2019;Shanaev y Ghimire, 2019;Hillier y Loncan, 2019). También, del SARS (Ru, Yang y Zou, 2020;Chen et al, 2007) y el brote de la enfermedad del virus del Ébola (Ichev y Marinč, 2018); además de otros como los impactos en los mercados de futuros y PIB (Gormsen y Koijen, 2020, citados en Alfaro, Chari, Greenland y Schott, 2020), que tienen como base la publicación de noticias.…”

Section: Implicaciones Financieras Y Económicas De La Covid-19unclassified

Los comunicados de la Organización Mundial de la Salud relativos a las pandemias y su impacto en farmacéuticas que integran el índice Standard & Poor's 500

2021

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El presente trabajo tuvo como objetivo determinar el impacto financiero en los rendimientos accionarios de 60 empresas farmacéuticas que cotizaron en el índice Standard & Poor's 500 en el periodo 2003-2020 ante los comunicados de prensa de la Organización Mundial de la Salud, relativos a las pandemias del síndrome respiratorio agudo grave, la influenza H1N1 y la COVID-19 (SARS-CoV-2). Para contrastar la hipótesis de que dichos comunicados influyen en los precios de las cotizaciones de las acciones, se aplicó la metodología de estudios de eventos y se conformó una investigación cuantitativa con alcance correlacional. Los principales hallazgos permiten afirmar que los reportes de la Organización Mundial de la Salud relativos a las pandemias tienen impactos medibles en el desempeño bursátil de las empresas farmacéuticas que integran el índice S&P 500.

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“…Several macroeconomic news surprises in the U.S. had an immediate and significant impact on Canadian index returns and volatility (Hussain & Omrane, 2020). During the 2008 U.S. recession, they had a significant and relatively large impact on Canadian stock returns.…”

Section: Stock Market Developmentmentioning

confidence: 99%

Macroeconomic Variables Influence on Stock Market Performance

Shamsudin¹,

Rosmi²,

Mohamed³

2021

IJARBSS

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Investors should consider stock market performance when making an investment decision. Both economic and non-economic factors influence the stock market's performance. Previous research, primarily from developed markets, has revealed that macroeconomic factors significantly impact stock returns. Economic forces are used in this paper to investigate the significant relationship between selected macroeconomic variables, the Malaysian stock return index for the financial sector, and the Bursa Malaysia Finance Services Index. The macroeconomic variables examined are inflation (INF), money supply (M.S.) and the real effective exchange rate (REER). This study's sample consists of 164 timeseries observations. The observations are annual secondary data obtained from the World Bank, Index Mundi, and the Malaysian Bureau of Statistics from January 1979 to December 2019. Several regression analyses and econometric tests were performed with the interactive software package E-Views 11. The findings of this research paper provide an initial overview and can serve as a valuable foundation for investors' and policymakers' respective investment strategies and policies.

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The effect of US macroeconomic news announcements on the Canadian stock market: Evidence using high-frequency data

Cited by 25 publications

References 7 publications

Daily Stock Movements Through the Lens of Event and News: Evidence from the Pakistan Stock Exchange

Daily Stock Movements Through the Lens of Event and News: Evidence from the Pakistan Stock Exchange

Los comunicados de la Organización Mundial de la Salud relativos a las pandemias y su impacto en farmacéuticas que integran el índice Standard & Poor's 500

Macroeconomic Variables Influence on Stock Market Performance

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