Impact of US Macroeconomic Surprises on Stock Market Returns in Developed Economies

21 Pages Posted: 14 Jan 2008

See all articles by Brian M. Lucey

Brian M. Lucey

Trinity Business School, Trinity College Dublin; University of Sydney Business School; University of Economics Ho Chi Minh City

Ali Nejadmalayeri

University of Wyoming - College of Business

Manohar Singh

Willamette University - Atkinson Graduate School of Management

Date Written: January 2008

Abstract

Macroeconomic conditions are known to affect risks factors and thereby influence asset returns within a given economy. We explore this link in a global setting. Given the dominant role the U.S. economy plays in the global economic environment, U.S. Macro economic shocks are expected to affect asset returns in other countries. The impact should be more pronounced in the developed economies where the U.S. is a large trading and capital-flows partner. Our results shows that residual returns and conditional volatilities in major developed economies are significantly impacted by US macroeconomic surprises. We identify U.S. macro economic shocks that have spillover impact on global asset returns over and above those transmitted through equity market returns. While return levels are significantly influenced by productivity and retail sales surprises, return conditional volatilities are mainly influenced by inflation, personal income, industrial production, leading indicators, and gross domestic product surprises.

Keywords: Macroeconomic Announcements, forecasts, surprises, USA, Europe

JEL Classification: F40, 315

Suggested Citation

Lucey, Brian M. and Nejadmalayeri, Ali and Singh, Manohar, Impact of US Macroeconomic Surprises on Stock Market Returns in Developed Economies (January 2008). Available at SSRN: https://ssrn.com/abstract=1083656 or http://dx.doi.org/10.2139/ssrn.1083656

Brian M. Lucey

Trinity Business School, Trinity College Dublin ( email )

The Sutherland Centre, Level 6, Arts Building
Dublin 2
Ireland
+353 1 608 1552 (Phone)
+353 1 679 9503 (Fax)

University of Sydney Business School ( email )

Cnr. of Codrington and Rose Streets
Sydney, NSW 2006
Australia

University of Economics Ho Chi Minh City ( email )

59C Nguyen D├Čnh Chieu
6th Ward, District 3
Ho Chi Minh City, Ho Chi Minh 70000
Vietnam

Ali Nejadmalayeri (Contact Author)

University of Wyoming - College of Business ( email )

1000 E. University Avenue
Laramie, WY 82071
United States

Manohar Singh

Willamette University - Atkinson Graduate School of Management ( email )

900 State Street
Salem, OR 97301
United States

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