TY - JOUR
T1 - US macroeconomic news effects around the US and European financial crises
T2 - Evidence from Brazilian and Mexican equity indices
AU - Hussain, Syed Mujahid
AU - Ben Omrane, Walid
AU - Al-Yahyaee, Khamis
N1 - Publisher Copyright:
© 2019
PY - 2020/11
Y1 - 2020/11
N2 - We examine the intraday index return and volatility responses of two Latin American equity markets to US macroeconomic news releases around the periods of the US and European financial crises. We find that while index return is more sensitive than volatility to macroeconomic news in general, the five-minute Brazilian and Mexican index volatilities respond especially strongly to US news surprises, with the Brazilian response being more pronounced, especially during the expansion period. Among the macroeconomic indicators tested, FOMC rate decisions exhibit the highest impact on volatility, and there is evidence of asymmetric response to positive versus negative news.
AB - We examine the intraday index return and volatility responses of two Latin American equity markets to US macroeconomic news releases around the periods of the US and European financial crises. We find that while index return is more sensitive than volatility to macroeconomic news in general, the five-minute Brazilian and Mexican index volatilities respond especially strongly to US news surprises, with the Brazilian response being more pronounced, especially during the expansion period. Among the macroeconomic indicators tested, FOMC rate decisions exhibit the highest impact on volatility, and there is evidence of asymmetric response to positive versus negative news.
KW - Emerging markets
KW - Financial crisis
KW - Intraday volatility
KW - Macroeconomic news
UR - http://www.scopus.com/inward/record.url?scp=85067991884&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=85067991884&partnerID=8YFLogxK
UR - https://www.mendeley.com/catalogue/ef3a61e3-99da-33a3-b25d-1bd29db6ee75/
U2 - 10.1016/j.gfj.2019.100482
DO - 10.1016/j.gfj.2019.100482
M3 - Article
AN - SCOPUS:85067991884
SN - 1044-0283
VL - 46
JO - Global Finance Journal
JF - Global Finance Journal
M1 - 100482
ER -