1. The effect of macroeconomic announcements on stock market return and volatility.
- Author
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ZHANG Lin, ZHANG Jun, and WANG Qing
- Subjects
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RATE of return on stocks , *GARCH model , *STOCK exchanges , *INFLATIONARY universe - Abstract
This paper studies the impact of fundamental macroeconomic news on stock market return and its volatility by constructing indicators which measure unexpected components of 7 macro announcements series. We find that the monthly returns of stock markets are a hedge against inflation, and PPI, fixed investment, money supply (M2) significantly affect the returns of stock markets, moreover the trade surplus has significant effect on the volatility of stock market returns. We also find daily stock market returns response the macroeconomic announcements differently. For Shanghai stock market, CPI, fixed investment and importation affect the returns of Shanghai Composite Index, and export variable influences both its return and volatility. Shenzhen stock market only has a response to the exportation information. In addition, there are significant structure change in above relationship in the post crisis. Among all macro information variables, only PMI and trade variables strongly affect the market returns, while PPI is significantly related to their volatility. [ABSTRACT FROM AUTHOR]
- Published
- 2020
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