EFFECTS OF MACROECONOMIC ANNOUNCEMENTS ON STOCK RETURNS ACROSS VOLATILITY REGIMES

被引：0
|
作者：
Aray, Henry [1 ]
机构：
[1] Univ Granada, Dept Teoria & Hist Econ, Granada 18011, Spain
来源：
MARKETING AND MANAGEMENT SCIENCES | 2008年
关键词：
D O I：
暂无
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This article presents evidence on the effects of macroeconomic announcements on individual stocks returns across two volatility regimes: one with high volatility and the other with low volatility. At 5% level of significance, the response of stock returns to macroeconomic announcements is much stronger in the low volatility regime. However, the effects of the Fama-French factors is unambiguously significant in both regimes.
引用
收藏
页码：76 / 80
页数：5
相关论文
共 50 条
  • [1] Macroeconomic news announcements and asymmetric volatility of stock returns: The Nigerian case
    Omokehinde, Joshua Odutola
    Akingunola, Richard Oreoluwa
    [J]. AESTIMATIO-THE IEB INTERNATIONAL JOURNAL OF FINANCE, 2018, (17): : 146 - 162
  • [2] Macroeconomic announcements and asymmetric volatility in bond returns
    de Goeij, Peter
    Marquering, Wessel
    [J]. JOURNAL OF BANKING & FINANCE, 2006, 30 (10) : 2659 - 2680
  • [3] The effects of macroeconomic factors on stock returns: Istanbul Stock Market
    Rjoub, Husam
    Tuersoy, Turgut
    Guensel, Nil
    [J]. STUDIES IN ECONOMICS AND FINANCE, 2009, 26 (01) : 36 - +
  • [4] STOCK RETURNS AND VOLATILITY
    BAILLIE, RT
    DEGENNARO, RP
    [J]. JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS, 1990, 25 (02) : 203 - 214
  • [5] Volatility jumps and macroeconomic news announcements
    Chan, Kam F.
    Gray, Philip
    [J]. JOURNAL OF FUTURES MARKETS, 2018, 38 (08) : 881 - 897
  • [6] Metal Returns, Stock Returns and Stock Market Volatility
    Zevallos, Mauricio
    del Carpio, Carlos
    [J]. REVISTA ECONOMIA, 2015, 38 (75): : 101 - 122
  • [7] MACROECONOMIC FACTORS AND STOCK RETURNS
    KIM, MK
    WU, CC
    [J]. JOURNAL OF FINANCIAL RESEARCH, 1987, 10 (02) : 87 - 98
  • [8] Macroeconomic determinants of stock volatility and volatility premiums
    Corradi, Valentina
    Distaso, Walter
    Mele, Antonio
    [J]. JOURNAL OF MONETARY ECONOMICS, 2013, 60 (02) : 203 - 220
  • [9] Weather effects on the returns and volatility of the Shanghai stock market
    Kang, Sang Hoon
    Jiang, Zhuhua
    Lee, Yeonjeong
    Yoon, Seong-Min
    [J]. PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, 2010, 389 (01) : 91 - 99
  • [10] Idiosyncratic volatility, stock market volatility, and expected stock returns
    Guo, H
    Savickas, R
    [J]. JOURNAL OF BUSINESS & ECONOMIC STATISTICS, 2006, 24 (01) : 43 - 56
12345