Limit search to available items
Book Cover
Author Funke, Norbert.

Title Macroeconomic news and stock returns in the United States and Germany / Norbert Funke and Akimi Matsuda
Published [Washington, D.C.] : International Monetary Fund, [2002]
Online access available from:
IMF eLibrary    View Resource Record  


Description 1 online resource (30 pages) : illustrations
Series IMF working paper ; WP/02/239
IMF working paper ; WP/02/239
Summary Using daily data for the January 1997 to June 2002 period, we analyze the impact of a broad set of macroeconomic news on stock prices in the United States and Germany. With GARCH specifications we test five hypotheses and find that news on real economic activity has a significant impact on stock prices. The effects vary between different types of stocks and depend on the state of the economy. In a boom period, bad economic news may be good news for stock prices. For German stock prices, international news is at least as important as domestic news. The analysis of bihourly data suggests that the main effect occurs within a short period of time
Notes "December 2002"--Page [1]
At head of title: IMF Institute
Cover title
Bibliography Includes bibliographical references (pages 29-30)
Notes Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002. MiAaHDL
digitized 2010 HathiTrust Digital Library committed to preserve pda MiAaHDL
Print version record
Subject Causation -- Econometric models.
Rate of return -- Effect of bad news on -- Econometric models
Rate of return -- Effect of economic conditions on -- Econometric models
Stocks -- Germany -- Econometric models.
Stocks -- United States -- Econometric models.
Form Electronic book
Author Matsuda, Akimi.
IMF Institute.
International Monetary Fund.
ISBN 1283552019
1451920385 (E-Book)