Analyses of the impacts of U.S. macroeconomic announcements on the stock markets of a selection of countries

Abasov, Muzaffar (2018): Analyses of the impacts of U.S. macroeconomic announcements on the stock markets of a selection of countries.

Abstract

This thesis analyses various aspects of the impacts of U.S. macroeconomic indicators (as GDP Growth, CPI and unemployment rates) and their scheduled announcements on the stock markets of U.S. and a selection other countries (U.K., Australia, Japan, China, and Brazil) for 10 years between 2007 and 2016. The study includes analyses related to intraday, daily and monthly return rates, and daily trade volumes of selected stock indices. The analyses show that, U.S. stock market is more likely to affect the stock markets of the selected countries, rather than getting affected by them. Among the selected countries, the stock markets of those with lower external debts and higher international reserves in relative to their GDPs are less sensitive to scheduled U.S. macroeconomic indicators and their annoucements. Trade relations with U.S. also have an important role on the volatilities of the selected stock markets. The sizes of the announcement surprises are more important than their signs . Additionally, the return rate volatilities are more likely to get affected by the surprises than return rates themselves. Also, investors tend to misinterpret the information coming from annoucements. The return rates of the some individual U.S. companies also show sensitivities to the scheduled U.S. macroeconomic announcements as the aggregate index return rates.

• Item Type: MPRA Paper
• Language: English
• Keywords: macroeconomic announcements, stock markets, intraday return rates
• Subjects: G - Financial Economics > G1 - General Financial Markets > G15 - International Financial Markets; G - Financial Economics > G1 - General Financial Markets > G17 - Financial Forecasting and Simulation

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