Discovering and Disentangling the Effects of US Macro-Announcements for European Stocks

T. Rühl, Michael V. Stein
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Abstract

In this study, we analyze the effect of US macroeconomic announcements on European stock returns, return volatility and bid-ask spreads using intraday data. We find that certain announcements are generally more important to the European stock market than others, and that the direction of news is important for returns. We provide first evidence that a stock-individual analysis is crucial to disentangle overall market reactions from stock-specific impacts and that effects vary dramatically between stocks. The analysis of quoted spreads reveals that return volatility affects the spread size positively, and that spreads are systematically higher directly after news releases. This is followed by structurally lower spreads, indicating quickly decreasing asymmetric information in the market after announcements. Additionally, spreads tend to react to announcements even if the returns or the volatility of the underlying stock is not significantly affected. This points at the importance of the analysis of news events beyond return and volatility analyses.
美国宏观公告对欧洲股市的影响
在本研究中,我们使用日内数据分析了美国宏观经济公告对欧洲股票回报、回报波动性和买卖价差的影响。我们发现,某些公告对欧洲股市来说通常比其他公告更重要,而且新闻的方向对回报很重要。我们提供了第一个证据,证明个股分析对于从个股影响中分离整体市场反应至关重要,而且个股之间的影响差异很大。对报价价差的分析表明,收益率波动对价差大小有正向影响,而且在新闻发布后,价差会直接系统性地升高。随后是结构性的低价差,表明公告发布后市场中的不对称信息迅速减少。此外,价差往往会对公告做出反应,即使标的股票的回报或波动性没有受到显著影响。这表明了对新闻事件的分析比回报和波动分析更重要。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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