Intraday impact of macroeconomic and COVID-19 news on Latin American stock indexes

Abstract

This study examines the intraday impact of domestic and US macroeconomic news and pandemic-related events on financial markets in Latin and North American countries. We find that U.S. macroeconomic indicators, particularly those related to monetary policy and real activity, have a stronger effect on index returns and volatility than domestic news. The pandemic further altered market responses, with vaccine development news generally increasing volatility across regions, while vaccine administration has contrasting effects in Latin American and North American markets. The study emphasizes the importance of context-specific and sign-switch effects, highlighting the global interconnectedness of financial markets, especially during times of crisis.