The Effect of the European Economic News Releases to the US Financial Markets in the Crisis Period
Investment Management and Financial Innovations, Vol. 13(4), p. 31-55, 2016
Posted: 18 Nov 2016
Date Written: November 18, 2016
Abstract
This paper evaluates the effect of all European economic news releases to the US financial markets, for the main crisis period from June 2007 up to October 2011. Evaluation concerns Sharpe ratios, as well as magnitude and frequency of volatility jumps for the periods before and after a news release. Sharpe ratios are examined with the risk of the excess returns being estimated by the flat-top Bartlett kernel estimator of Barndorff-Nielsen et al. (2008) with an optimal (in a finite sample) choice for the number of autocovariances as suggested by Bandi and Russell (2011). Volatility jumps are detected according to the jump detection scheme of Ait-Sahalia and Jacod (2009).
Keywords: European Economic News Releases, Crisis, Macroeconomic Variables, Sharpe Ratio, Jumps
JEL Classification: G01, G15
Suggested Citation: Suggested Citation