The effect of US macroeconomic news announcements on the Canadian stock market: Evidence using high-frequency data

Syed Mujahid Hussain*, Walid Ben Omrane

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

20 Citations (Scopus)

Abstract

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.

Original languageEnglish
Article number101450
JournalFinance Research Letters
Volume38
DOIs
Publication statusPublished - 2020

Keywords

  • Intraday volatility
  • financial crisis, High-frequency data
  • macroeconomic news announcements

ASJC Scopus subject areas

  • Finance

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