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Macroeconomic News and Stock Returns in the United States and Germany

Author

Listed:
  • Funke Norbert

    (International Monetary Fund,Washington, D.C., United States of America)

  • Matsuda Akimi

    (New York University,New York City, United States of America)

Abstract

Using daily data for the January 1997 to June 2002 period, we analyze similarities and differences in the impact of macroeconomic news on stock returns in the United States and Germany. We consider 27 different types of news for the United States and 12 different types of news for Germany. For the United States, we present evidence for asymmetric reactions of stock prices to news. In a boom (recession) period, bad (good) news on GDP growth and unemployment or lower (higher) than expected interest rates may be good news for stock prices. In the period under consideration there is little evidence for asymmetric effects in Germany. However, in the case of Germany, international news appears at least as important as domestic news. There is no evidence that US stock prices are influenced by German news. The analysis of bi-hourly data for Germany confirms these results.

Suggested Citation

  • Funke Norbert & Matsuda Akimi, 2006. "Macroeconomic News and Stock Returns in the United States and Germany," German Economic Review, De Gruyter, vol. 7(2), pages 189-210, May.
    • Handle: RePEc:bpj:germec:v:7:y:2006:i:2:p:189-210
    DOI: 10.1111/j.1468-0475.2006.00152.x
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    Keywords

    Stock markets; macroeconomic news;

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