Foreign news and the structure of co-movement in European equity markets: An intraday analysis |
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| Institution: | 1. Goodman School of Business, Brock University, Canada;2. School of Accounting and Finance, University of Waterloo, Canada |
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| Abstract: | We investigate European equity market volatility responses to foreign macroeconomic surprises. We measure the length of the response and decompose the news effect into direct and indirect components. The latter is induced by volatility transmission between equity markets. We show that 50 percent of the total accumulated impact of US macroeconomic news on the DAX 30 and CAC 40 volatilities is attained after 90 min. We find that the news announcements have significant direct impacts on both European indices but the indirect effect on the French index is stronger than that on the German. |
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| Keywords: | Macroeconomic news Impulse response analysis Volatility High-frequency data |
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