The effect of US macroeconomic news announcements on the Canadian stock market: Evidence using high-frequency data

被引：20

作者：

Hussain, Syed Mujahid ^{[1
]}

Ben Omrane, Walid ^{[2
]}

机构：

[1] Sultan Qaboos Univ, Coll Econ & Polit Sci, Dept Econ & Finance, Muscat, Oman

[2] Brock Univ, Goodman Sch Business, Dept Finance Operat & Informat Syst, St Catharines, ON, Canada

来源：

FINANCE RESEARCH LETTERS | 2021年 / 38卷

关键词：

Intraday volatility; macroeconomic news announcements; financial crisis; High-frequency data;

D O I：

10.1016/j.frl.2020.101450

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We analyze the impact of US macroeconomic news announcements on the Canadian benchmark stock index return and volatility using high-frequency 5-min data. Our findings reveal that several US news releases exert a statistically significant influence on the Canadian stock market return and volatility. Moreover, we show that during the 2008 US recession, slightly more US news announcements exhibit significant impacts on the Canadian equity returns, with relatively pronounced effects. Overall, our results support previous findings by suggesting that US macroeconomic fundamentals form a linkage between Canadian and US financial markets.

引用

页数：7

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