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When does the stock market listen to economic news? New evidence from copulas and news wires

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  • Ivan Medovikov

Abstract

We study association between macroeconomic news and stock market returns using the statistical theory of copulas, and a new comprehensive measure of news based on the indexing of news wires. We find the impact of economic news on equity returns to be nonlinear and asymmetric. In particular, controlling for economic conditions and surprises associated with releases of economic data, we find that the market reacts strongly and negatively to the most unfavourable macroeconomic news, but appears to largely discount the good news. This relationship persists throughout the different stages of the business cycle.

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  • Ivan Medovikov, 2014. "When does the stock market listen to economic news? New evidence from copulas and news wires," Papers 1410.8427, arXiv.org.
    • Handle: RePEc:arx:papers:1410.8427
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    Cited by:

    1. Yingli Wang & Xiaoguang Yang, 2018. "Asymmetric response to PMI announcements in China's stock returns," Papers 1806.04347, arXiv.org.
    2. Moosavi , Seyed Abdollah & Ranjbar , Homayoun & Sameti , Majid & Sharifi-Renani , Hossein, 2019. "Analysis of the Impact of Economic Growth and Asymmetric Information of Capital Market on Investors' Confidence," Journal of Money and Economy, Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, vol. 14(1), pages 41-62, January.

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