Over recent years, the impact of macroeconomic news announcements on equity markets’ returns has received considerable attention in academic literature. The prevailing opinion is that asset prices and volatility in stock markets react almost instantaneously to macroeconomic news announcements. This study investigates the effect of macroeconomic news on Italian stock returns and volatility. No previous research, using high frequency data, was found regarding the impact of US, German and Italian macroeconomic announcements on the Italian equity market. Only Bonfiglio and Guderzo (2000) and Casarin and Guderzo (2001) have studies the impact of both macro and financial news on the Comit Index, but their research was based on monthly data. Following the Hanousek et al. (2009) and Hanousek and Kocenda (2001) approach, the authors analyze the impact of such announcements by employing a version of the GARCH model with dummy variables.

Mastronardi, R., Patane', M., Tucci, M.P. (2013). Macroeconomic news and Italian equity market. INVESTMENT MANAGEMENT & FINANCIAL INNOVATIONS, 10(2), 132-141.

Macroeconomic news and Italian equity market

PATANE', MICHELE;TUCCI, MARCO PAOLO
2013-01-01

Abstract

Over recent years, the impact of macroeconomic news announcements on equity markets’ returns has received considerable attention in academic literature. The prevailing opinion is that asset prices and volatility in stock markets react almost instantaneously to macroeconomic news announcements. This study investigates the effect of macroeconomic news on Italian stock returns and volatility. No previous research, using high frequency data, was found regarding the impact of US, German and Italian macroeconomic announcements on the Italian equity market. Only Bonfiglio and Guderzo (2000) and Casarin and Guderzo (2001) have studies the impact of both macro and financial news on the Comit Index, but their research was based on monthly data. Following the Hanousek et al. (2009) and Hanousek and Kocenda (2001) approach, the authors analyze the impact of such announcements by employing a version of the GARCH model with dummy variables.
2013
Mastronardi, R., Patane', M., Tucci, M.P. (2013). Macroeconomic news and Italian equity market. INVESTMENT MANAGEMENT & FINANCIAL INNOVATIONS, 10(2), 132-141.
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11365/49751
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