The Impact of Foreign Macroeconomic News on Financial Markets in the Czech Republic, Hungary, and Poland

MAGKS Working Paper No. 03-2009

21 Pages Posted: 4 Feb 2009 Last revised: 1 Dec 2010

See all articles by David Buettner

David Buettner

University of Marburg - School of Business & Economics

Bernd Hayo

University of Marburg - School of Business & Economics

Matthias Neuenkirch

University of Trier - Faculty of Economics; CESifo (Center for Economic Studies and Ifo Institute)

Date Written: November 30, 2010

Abstract

In this paper, we investigate the effects of euro area and US macroeconomic news on financial markets in the Czech Republic, Hungary, and Poland (CEEC-3) from 1999 to 2006. Using a GARCH model, we examine the impact of news on daily returns of three-month interest rates, stock market indices, exchange rates versus the euro, and the US dollar. First, both US and European macroeconomic news has a significant impact on CEEC-3 financial markets. Second, the process of European integration is accompanied by an increasing importance of euro area news relative to US news. Third, there are country-specific differences: for example, the Czech stock market is relatively more affected by foreign news since the Copenhagen Summit in December 2002. In general, our results support the hypothesis of a deepening euro area influence on the CEEC-3 over time and a corresponding reduction in the relative importance of US shocks.

Keywords: Czech Republic, European Monetary Union, Financial Markets, Hungary, Macroeconomic News, Poland

JEL Classification: G12, G15, F30

Suggested Citation

Buettner, David and Hayo, Bernd and Neuenkirch, Matthias, The Impact of Foreign Macroeconomic News on Financial Markets in the Czech Republic, Hungary, and Poland (November 30, 2010). MAGKS Working Paper No. 03-2009. Available at SSRN: https://ssrn.com/abstract=1337109 or http://dx.doi.org/10.2139/ssrn.1337109

David Buettner

University of Marburg - School of Business & Economics ( email )

Am Plan 2
Marburg, D-35037
Germany

Bernd Hayo

University of Marburg - School of Business & Economics ( email )

Universitaetsstr. 24
Marburg, D-35032
Germany
++49(0)6421-28-23091 (Phone)
++49(0)6421-28-23193 (Fax)

Matthias Neuenkirch (Contact Author)

University of Trier - Faculty of Economics ( email )

Universitätsring 15
Trier, 54296
Germany
+49 - (0)651 - 201 - 2629 (Phone)

HOME PAGE: http://www.uni-trier.de/index.php?id=50130

CESifo (Center for Economic Studies and Ifo Institute) ( email )

Poschinger Str. 5
Munich, DE-81679
Germany

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