Impact of Scheduled U.S. Macroeconomic News on Stock Market Uncertainty: A Multinational Perspecive

20 Pages Posted: 8 Jul 2015

See all articles by Jussi Nikkinen

Jussi Nikkinen

University of Vaasa - Department of Accounting and Finance

Petri Sahlström

University of Oulu

Date Written: July 7, 2015

Abstract

This study examines how the U.S. macroeconomic news releases affect uncertainty in domestic and foreign stock exchanges. For that purpose, the behavior of the implied volatilities from the U.S. and Finnish markets is investigated around the employment, producer price index (PPI) and consumer price index (CPI) reports. The results confirm the hypothesis that implied volatility increases prior to the macroeconomic news release and drops after the announcement in both markets. This implies that uncertainty associated with the U.S. macroeconomic news releases is reflected in foreign stock markets as well. Of the macroeconomic news releases, the employment report has the largest impact on uncertainty.

Keywords: implied volatility; index options; macroeconomic news; uncertainty

JEL Classification: G14

Suggested Citation

Nikkinen, Jussi and Sahlström, Petri, Impact of Scheduled U.S. Macroeconomic News on Stock Market Uncertainty: A Multinational Perspecive (July 7, 2015). Multinational Finance Journal, Vol. 5, No. 2, p. 129-148, 2001. Available at SSRN: https://ssrn.com/abstract=2627625

Jussi Nikkinen (Contact Author)

University of Vaasa - Department of Accounting and Finance ( email )

P.O. Box 700
FIN-65101 Vaasa, FI-65101
Finland
+358 6 3248541 (Phone)

Petri Sahlström

University of Oulu ( email )

P.O. Box 4600
Oulu FIN-90014
Finland

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