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
收藏
页码：389 / 398
页数：10
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