The Impact of US News on the German Stock Market - An Event Study Analysis

Posted: 17 Feb 2009 Last revised: 18 Oct 2011

See all articles by Thomas Dimpfl

Thomas Dimpfl

University of Tuebingen - Department of Statistics and Econometrics

Date Written: February 15, 2009

Abstract

This paper investigates the impact of the opening of US stock markets on the German stock market. Quantiles of the S&P 500 return distribution are used to distinguish good, bad, and no news days. We find that the German market reacts to the US news announcements which typically precede the opening of the NYSE. The opening of the market itself and the beginning of trading is not found to affect the DAX. On calm days there is no measurable impact. Once important news is transmitted, it is processed rapidly. Volatility is found to be significantly higher on news days.

Keywords: event study, news impact, spillover, volatility, price discovery

JEL Classification: C22, C50, G14

Suggested Citation

Dimpfl, Thomas, The Impact of US News on the German Stock Market - An Event Study Analysis (February 15, 2009). Quarterly Review of Economics and Finance, Vol. 51, No. 4, pp. 389-398, 2010, Available at SSRN: https://ssrn.com/abstract=1343642

Thomas Dimpfl (Contact Author)

University of Tuebingen - Department of Statistics and Econometrics ( email )

Germany

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