TY - JOUR
T1 - The effect of US macroeconomic news announcements on the Canadian stock market
T2 - Evidence using high-frequency data
AU - Hussain, Syed Mujahid
AU - Ben Omrane, Walid
N1 - Funding Information:
Canada and the United States (US) share a long history of trade and financial linkages. For instance, Canada was the 2nd largest trading partner of the US with $581 billion in total goods trade during 2017.1 Moreover, a large number of Canadian companies are cross-listed on US exchanges and a significant proportion of these firms approach US capital markets to raise funds.2 Such trade and financial linkages imply that the Canadian stock market would be exposed to the changes in the US financial and economic landscape. The objective of this paper is to analyze the impact of US macroeconomic news announcements on the Canadian benchmark stock index (i.e., S&P/TSX composite index) using high-frequency data.
PY - 2020
Y1 - 2020
N2 - We analyze the impact of US macroeconomic news announcements on the Canadian benchmark stock index return and volatility using high-frequency 5-min data. Our findings reveal that several US news releases exert a statistically significant influence on the Canadian stock market return and volatility. Moreover, we show that during the 2008 US recession, slightly more US news announcements exhibit significant impacts on the Canadian equity returns, with relatively pronounced effects. Overall, our results support previous findings by suggesting that US macroeconomic fundamentals form a linkage between Canadian and US financial markets.
AB - We analyze the impact of US macroeconomic news announcements on the Canadian benchmark stock index return and volatility using high-frequency 5-min data. Our findings reveal that several US news releases exert a statistically significant influence on the Canadian stock market return and volatility. Moreover, we show that during the 2008 US recession, slightly more US news announcements exhibit significant impacts on the Canadian equity returns, with relatively pronounced effects. Overall, our results support previous findings by suggesting that US macroeconomic fundamentals form a linkage between Canadian and US financial markets.
KW - financial crisis, High-frequency data
KW - Intraday volatility
KW - macroeconomic news announcements
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UR - https://www.mendeley.com/catalogue/8cd6eab6-d10c-3282-ade9-2bf5bd8169eb/
U2 - 10.1016/j.frl.2020.101450
DO - 10.1016/j.frl.2020.101450
M3 - Article
AN - SCOPUS:85078879401
SN - 1544-6123
JO - Finance Research Letters
JF - Finance Research Letters
M1 - 101450
ER -