Record Details

Linear and nonlinear intraday causalities in response to U.S. macroeconomic news announcements: Evidence from Central Europe

Managerial Economics

View Archive Info
 
 
Field Value
 
Title Linear and nonlinear intraday causalities in response to U.S. macroeconomic news announcements: Evidence from Central Europe
 
Creator Gurgul, Henryk
Lach, Łukasz
Wójtowicz, Tomasz
 
Subject —
—
 
Description This paper deals with an analysis of the information flow on and between three European stock markets operating in Frankfurt, Vienna, and Warsaw. We examine causal links between returns, volatility, and trading volume as well as the time of reaction to a news release and changes in the duration of causal interference. To model the conditional variance, we use the ARMA(1,1)-EGARCH-M(1,1) model. We investigate linear and nonlinear Granger causalities on the three stock exchanges using Bayesian large sample correction of the critical values in significance tests. The results of our study confirm the dominant role of the Frankfurt Stock Exchange, since the most significant linear relationship is the causality running from DAX30 returns to the returns of the ATX20 and WIG20 (which exists irrespective of the time of the day, presence of important public news, and lag length of the underlying VAR models). Moreover, the empirical results of this paper confirm the strong impact of announcements of macroeconomic news from the U.S. economy on the structure of both linear and nonlinear causal links on the three markets under study.
 
Publisher AGH University of Science and Technology Press.
 
Contributor —
 
Date 2017-01-24
 
Type info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
Peer-reviewed Article
 
Format application/pdf
 
Identifier https://journals.agh.edu.pl/manage/article/view/2295
10.7494/manage.2016.17.2.217
 
Source Managerial Economics; Vol 17, No 2 (2016); 217
1898-1143
 
Language eng
 
Relation https://journals.agh.edu.pl/manage/article/view/2295/1620
 
Rights Copyright (c) 2017 Managerial Economics