Macroeconomic news, business cycles and Australian financial markets

被引：2
|
作者：
Fang V. [1 ]
Lin C.-T. [2 ]
Parbhoo K.M. [1 ]
机构：
[1] Department of Accounting and Finance, Monash University, Caulfield, VIC 3145
[2] School of Business, University of Adelaide, Adelaide, SA 5005
来源：
Asia-Pacific Financial Markets | 2008年 / 15卷 / 3-4期
关键词：
Asymmetric effect; Financial markets; Macroeconomic news surprises; State of economy;
D O I：
10.1007/s10690-009-9078-4
中图分类号：
学科分类号：
摘要：
This paper examines the effects of news surprises of macroeconomic announcements on Australian financial markets across different business cycles. We find that overall, the news arrivals are influential in both stock and debt markets but in an interesting array of responses across asset classes. Debt markets are more responsive to macroeconomic news surprises compared to the stock market, hence supporting the notion that information revealed from the macroeconomic news is related to interest rates. Specifically, news about CPI is important over the full sample period and especially during expansions for both stock and bond returns while the unemployment rate news is influential to the money market rates. Furthermore, these effects are seemingly asymmetric in nature, with their directions and magnitudes conditional on the state of economy. © 2009 Springer Science+Business Media, LLC.
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页码：185 / 207
页数：22
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