38 Pages Posted: 27 Apr 2004
Date Written: April 20, 2004
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: 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