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Do international markets overreact? Event study: International market reaction to U.S. local news events

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  • Al-Thaqeb, Saud Asaad

Abstract

This event study surveys the relationship between the returns of 26 international markets and the U.S. Using local events experienced in the U.S., I measure the reaction of international markets to major U.S. political, economic, environmental, and national security events. I document that international markets show an under-reaction to positive local events in the U.S. and an over-reaction to negative local events in the U.S., especially when the events are unexpected. The economic factors could not these findings. The empirical findings support the influence of U.S. local events in the international scale and show how it effects investor sentiments in other markets.

Suggested Citation

  • Al-Thaqeb, Saud Asaad, 2018. "Do international markets overreact? Event study: International market reaction to U.S. local news events," Research in International Business and Finance, Elsevier, vol. 44(C), pages 369-385.
    • Handle: RePEc:eee:riibaf:v:44:y:2018:i:c:p:369-385
    DOI: 10.1016/j.ribaf.2017.07.106
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    References listed on IDEAS

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    Cited by:

    1. Zhou, Xinxing & Gao, Yan & Wang, Ping & Zhu, Bangzhu, 2022. "Examining the overconfidence and overreaction in China’s carbon markets," Economic Analysis and Policy, Elsevier, vol. 75(C), pages 472-489.
    2. Nguyen, Dat Thanh & Phan, Dinh Hoang Bach & Anglingkusumo, Reza & Sasongko, Aryo, 2021. "US government shutdowns and Indonesian stock market," Pacific-Basin Finance Journal, Elsevier, vol. 67(C).
    3. Gu, Xin & Zhang, Weiqiang & Cheng, Sang, 2021. "How do investors in Chinese stock market react to external uncertainty? An event study to the Sino-US disputes," Pacific-Basin Finance Journal, Elsevier, vol. 68(C).

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    More about this item

    Keywords

    Event study; U.S. local news; International stock markets;
    All these keywords.

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • F30 - International Economics - - International Finance - - - General
    • F37 - International Economics - - International Finance - - - International Finance Forecasting and Simulation: Models and Applications

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