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EBOOK
Author Funke, Norbert.
Title Macroeconomic news and stock returns in the United States and Germany / Norbert Funke and Akimi Matsuda.
Imprint [Washington, D.C.] : International Monetary Fund, 2002.

LOCATION CALL # STATUS MESSAGE
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LOCATION CALL # STATUS MESSAGE
 OHIOLINK IMF EBOOKS    ONLINE  
View online
Author Funke, Norbert.
Series IMF working paper, 2227-8885 ; WP/02/239
IMF working paper ; WP/02/239.
Subject Stocks -- United States -- Econometric models.
Stocks -- Germany -- Econometric models.
Rate of return -- Effect of bad news on -- Econometric models.
Rate of return -- Effect of economic conditions on -- Econometric models.
Causation -- Econometric models.
Alt Name Matsuda, Akimi.
International Monetary Fund.
IMF Institute.
Description 1 online resource (30 pages) : illustrations
Note Cover title.
"December 2002"--Page 1
Bibliography Note Includes bibliographical references (pages 29-30).
Note At head of title: IMF Institute.
Access Use copy Restrictions unspecified star
Reproduction Electronic reproduction. [Place of publication not identified] : HathiTrust Digital Library, 2010.
System Details Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002. http://purl.oclc.org/DLF/benchrepro0212
Note digitized 2010 HathiTrust Digital Library committed to preserve pda
Print version record.
Summary Using daily data for the January 1997 to June 2002 period, we analyze the impact of a broad set of macroeconomic news on stock prices in the United States and Germany. With GARCH specifications we test five hypotheses and find that news on real economic activity has a significant impact on stock prices. The effects vary between different types of stocks and depend on the state of the economy. In a boom period, bad economic news may be good news for stock prices. For German stock prices, international news is at least as important as domestic news. The analysis of bihourly data suggests that the main effect occurs within a short period of time.
Note English.
ISBN 1283552019
9781283552011
9781451920383
1451920385 (E-Book)
1462376894
9781462376896
1452748004
9781452748009
9786613864468
6613864463
ISBN/ISSN 10.5089/9781451920383.001
OCLC # 647161786
Additional Format Print version: Funke, Norbert. Macroeconomic news and stock returns in the United States and Germany. [Washington, D.C.] : International Monetary Fund, 2002 (OCoLC)51563043



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