Macroeconomic news effects in commodity futures and German stock and bond futures markets

Autoren

• He Huang

Parameter

• Lehrbücher
• Universitätslehrbücher

Mehr zum Buch

A well-known concept in modern capital market theory is that only systematic risk factors affect security prices. Macroeconomic announcements significantly influence financial markets as they represent a source of non-diversifiable risk. This work explores the effects of US macroeconomic news on three less-studied financial markets: the commodity futures market, the German stock index futures market, and the German bond futures market. It examines not only price effects but also liquidity effects and the channels of cross-border information flow. Findings reveal that commodity markets, as well as international stock and bond markets, respond to US macroeconomic news. The strength of the commodity price response varies with the economy's state, and US economic news is found to be more impactful on German stock markets than domestic news. For investors in these markets, the insights provided can help in adjusting trading strategies around macroeconomic news releases. Additionally, the research enhances the understanding of cross-border information flow, showing that both domestic and foreign economic news lead to significant price and liquidity effects, with two key channels of information transmission identified: the direct response to the news and the indirect response to the foreign reaction.

• Sprache: Englisch
• Erscheinungsdatum: 2010
• Einband: Paperback