A1 Journal article (refereed), original research

Surprise effect of Euro area macroeconomic announcements on CIVETS stock markets


Open Access publication

Publication Details
Authors: Wallenius Laura, Fedorova Elena, Ahmed Sheraz, Collan Mikael
Publication year: 2017
Language: English
Related Journal or Series Information: Prague Economic Papers
Volume number: 26
Issue number: 1
Start page: 55
End page: 71
Number of pages: 17
ISSN: 1210-0455
JUFO-Level of this publication: 1
Open Access: Open Access publication

Abstract
The macroeconomic announcements and their effects on stock markets are considered tobe a measure of stock market integration. Earlier studies show that integrated stock marketsexhibit immediate reaction to international macroeconomic news, whereas partially integratedor segmented markets mostly do not react to such announcements. This paper investigatesthe effect of surprises disguised in the macroeconomic announcements made by the EuropeanMonetary Union on CIVETS (Colombia, Indonesia, Vietnam, Egypt, Turkey, and South Africa) stockmarkets. Daily stock market data starting from January 1, 2007 to December 31, 2012 is analysed.The impact of macroeconomic announcements is estimated by using EGARCH model. The resultsshow that the returns of four out of six CIVETS stock markets significantly react on the dayof macroeconomic announcements, whereas the market volatility of all markets is affected dueto the EMU's announcements. The results also show that not all types of announcements havesignificant impact on returns and volatilities in CIVETS, highlighting the importance of the contentsof macroeconomic surprises.

Last updated on 2019-10-04 at 15:32