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The Impact of Trade Announcements on Financial Markets. An Event Study Analysis

Author

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  • Adrian Cantemir CALIN

    (1 Institute for Economic Forecasting, Romanian Academy)

Abstract

The financial markets tend to react to a large range of macroeconomic events. We investigate the reaction of currencies to foreign trade announcements for a series of countries with liquid financial markets. Our analysis uses the econometric event study methodology by fitting a FIGARCH model and capturing the reaction of the volatilities of returns around these announcements. We find that the trade announcements have a considerable influence on the currencies considered in this analysis, especially on those with a high degree of liquidity.

Suggested Citation

  • Adrian Cantemir CALIN, 2015. "The Impact of Trade Announcements on Financial Markets. An Event Study Analysis," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 81-91, June.
    • Handle: RePEc:rjr:romjef:v::y:2015:i:2:p:81-91
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    References listed on IDEAS

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    1. repec:ntu:ntugeo:vol2-iss1-14-042 is not listed on IDEAS
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    4. Andersen, Torben G. & Bollerslev, Tim, 1997. "Intraday periodicity and volatility persistence in financial markets," Journal of Empirical Finance, Elsevier, vol. 4(2-3), pages 115-158, June.
    5. Adrian Cantemir Calin & Tiberiu Diaconescu & Oana – Cristina Popovici, 2014. "Nonlinear Models for Economic Forecasting Applications: An Evolutionary Discussion," Computational Methods in Social Sciences (CMSS), "Nicolae Titulescu" University of Bucharest, Faculty of Economic Sciences, vol. 2(1), pages 42-47, June.
    6. Albu, Lucian Liviu & Lupu, Radu & Calin, Cantemir, 2014. "A Nonlinear Model to Estimate the Long Term Correlation between Market Capitalization and GDP per capita in Eastern EU Countries," Working Papers of Institute for Economic Forecasting 141115, Institute for Economic Forecasting.
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    More about this item

    Keywords

    trade announcements; FIGARCH; event study; financial reaction; periodicity ajustments;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • F14 - International Economics - - Trade - - - Empirical Studies of Trade

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