Download this Paper Open PDF in Browser

America and the Swiss Stock Exchange: An Intraday Analysis

38 Pages Posted: 27 Apr 2004  

Marc-André Mittermayer

University of Bern - Institute of Information Systems

Claudio F. Loderer

University of Berne - Institute for Financial Management; European Corporate Governance Institute (ECGI)

Date Written: April 20, 2004

Abstract

We want to know whether and in what sense traders on the Swiss Stock Exchange (SWX) are influenced by what happens on Wall Street. According to the results, the SWX reacts strongly when U.S. macroeconomic news relevant to Wall Street is disclosed. Moreover, SWX traders seem to wait with anticipation for the Wall Street opening. And they appear to overreact to what happens on Wall Street, although this overreaction is too weak to imply a profitable trading strategy.

Keywords: Switzerland, U.S., equity, linkages, economic news, Wall Street open, return volatility, trading volume

JEL Classification: G10, G14, G15

Suggested Citation

Mittermayer, Marc-André and Loderer, Claudio F., America and the Swiss Stock Exchange: An Intraday Analysis (April 20, 2004). EFMA 2004 Basel Meetings Paper. Available at SSRN: https://ssrn.com/abstract=534844 or http://dx.doi.org/10.2139/ssrn.534844

Marc-André Mittermayer

University of Bern - Institute of Information Systems ( email )

Engehaldenstrasse 8
CH - 3012 Bern
Switzerland
+41 31 631 3912 (Phone)
+41 31 631 4682 (Fax)

HOME PAGE: http://www.iwi.unibe.ch

Claudio F. Loderer (Contact Author)

University of Berne - Institute for Financial Management ( email )

Engehaldenstrasse 4
Bern, CH-3012
Switzerland
+41 31 631 37 75 (Phone)
+41 31 631 84 21 (Fax)

European Corporate Governance Institute (ECGI) ( email )

c/o ECARES ULB CP 114
B-1050 Brussels
Belgium

HOME PAGE: http://www.ecgi.org

Paper statistics

Downloads
226
Rank
113,166
Abstract Views
2,364