Impact of Scheduled U.S. Macroeconomic News on Stock Market Uncertainty: A Multinational Perspecive
20 Pages Posted: 8 Jul 2015
Date Written: July 7, 2015
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: Suggested Citation