The impact of US news on the German stock market-An event study analysis

被引：19

作者：

Dimpfl, Thomas ^{[1
]}

机构：

[1] Univ Tubingen, Wirtschaftswissensch Fak, Mohlstr 36, D-72074 Tubingen, Germany

来源：

QUARTERLY REVIEW OF ECONOMICS AND FINANCE | 2011年 / 51卷 / 04期

关键词：

Event study; News impact; Spillover; Volatility; Price discovery;

D O I：

10.1016/j.qref.2011.07.005

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper investigates the impact of the opening of US stock markets on the German stock market. Quantiles of the S&P 500 return distribution are used to distinguish good, bad, and no news days. We find that the German market reacts to the US news announcements which typically precede the opening of the NYSE. The opening of the market itself and the beginning of trading is not found to affect the DAX. On calm days there is no measurable impact. Once important news is transmitted, it is processed rapidly. Volatility is found to be significantly higher on news days. (c) 2011 The Board of Trustees of the University of Illinois. Published by Elsevier B.V. All rights reserved.

引用

页码：389 / 398

页数：10

共 50 条

[1] The impact of climate change news on the US stock market
Fedorova, Elena
Iasakova, Polina
[J]. JOURNAL OF RISK FINANCE, 2024, 25 (02) : 293 - 320
[2] The Effect of Information Disclosure of Internal Control Reports on the Stock Market-An Empirical Analysis Based on Event Study Method
Xu Ying-peng
[J]. 2013 INTERNATIONAL CONFERENCE ON MANAGEMENT SCIENCE AND ENGINEERING (ICMSE), 2013, : 1728 - 1733
[3] STOCK MARKET REACTION TO NEWS ON MACROECONOMIC GROWTH. AN EVENT STUDY ANALYSIS AT THE BUCHAREST STOCK EXCHANGE
Lupu, Iulia
Dumitrescu, Dan Gabriel
[J]. TRANSFORMATIONS IN BUSINESS & ECONOMICS, 2010, 9 (01): : 361 - 376
[4] MEASURING THE IMPACT OF THE US PRESIDENTIAL ELECTIONS ON THE STOCK MARKET USING EVENT STUDY METHODOLOGY
Tomic, Nenad
Todorovic, Violeta
Jaksic, Milena
[J]. ROMANIAN JOURNAL OF ECONOMIC FORECASTING, 2023, 26 (02): : 92 - 103
[5] Underreaction to News in the US Stock Market
Sinha, Nitish Ranjan
[J]. QUARTERLY JOURNAL OF FINANCE, 2016, 6 (02)
[6] Does the stock market value the inclusion in a sustainability stock index? An event study analysis for German firms
Oberndorfer, Ulrich
Schmidt, Peter
Wagner, Marcus
Ziegler, Andreas
[J]. JOURNAL OF ENVIRONMENTAL ECONOMICS AND MANAGEMENT, 2013, 66 (03) : 497 - 509
[7] Predicting Stock Market Movements Through Daily News Headlines Sentiment Analysis: US Stock Market
Bi, Yubo
Liu, Hanting
Wang, Ruiyang
Li, Shiyou
[J]. 2021 2ND INTERNATIONAL CONFERENCE ON BIG DATA & ARTIFICIAL INTELLIGENCE & SOFTWARE ENGINEERING (ICBASE 2021), 2021, : 642 - 648
[8] Oil news shocks and the US stock market
Alsalman, Zeina
Herrera, Ana Maria
Rangaraju, Sandeep Kumar
[J]. ENERGY ECONOMICS, 2023, 126
[9] Study of Stock Market Efficiency and Impact of Crash on Indian and US Market
Pandya, Falguni H.
Shah, Hardik S.
[J]. PACIFIC BUSINESS REVIEW INTERNATIONAL, 2015, 7 (07): : 33 - 45
[10] Analysis of the Effect of News Sentiment on Stock Market Prices through Event Embedding
Sridhar, Sashank
Sanagavarapu, Sowmya
[J]. PROCEEDINGS OF THE 2021 16TH CONFERENCE ON COMPUTER SCIENCE AND INTELLIGENCE SYSTEMS (FEDCSIS), 2021, : 147 - 150

← 1 2 3 4 5 →