Effects of macroeconomic announcements on stock returns across volatility regimes

Based on a simple Markov regime switching model, this article presents evidence on the effects of macroeconomic announcements on individual stocks returns. The model specification allows two regimes to be distinguished: one with high volatility and the other with low volatility. Considering the leve...

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Detalles Bibliográficos
Autor: Aray, Henry
Tipo de recurso: informe técnico
Fecha de publicación:2008
País:España
Institución:Universidad de Granada (UGR)
Repositorio:Digibug. Repositorio Institucional de la Universidad de Granada
Idioma:inglés
OAI Identifier:oai:digibug.ugr.es:10481/31542
Acceso en línea:http://hdl.handle.net/10481/31542
Access Level:acceso abierto
Palabra clave:Markov switching model
Macroeconomic announcements
Stock returns
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spelling Effects of macroeconomic announcements on stock returns across volatility regimesAray, HenryMarkov switching modelMacroeconomic announcementsStock returnsBased on a simple Markov regime switching model, this article presents evidence on the effects of macroeconomic announcements on individual stocks returns. The model specification allows two regimes to be distinguished: one with high volatility and the other with low volatility. Considering the level of significance at 5%, the response of stock returns to macroeconomic announcements is much stronger in the low volatility regime. However, the effects of the Fama-French factors on individual stock returns is unambiguously significant in both regimes.Financial support from the Spanish Ministry of Education and Science, through Project SEJ2007-62081/ECON.Universidad de Granada. Departamento de Teoría e Historia Económica20082008-01-01reporthttp://purl.org/coar/resource_type/c_93fcNAhttp://purl.org/coar/version/c_be7fb7dd8ff6fe43info:eu-repo/semantics/reporthttp://hdl.handle.net/10481/31542reponame:Digibug. Repositorio Institucional de la Universidad de Granadainstname:Universidad de Granada (UGR)Inglésengopen accesshttp://purl.org/coar/access_right/c_abf2info:eu-repo/semantics/openAccessoai:digibug.ugr.es:10481/315422025-07-12T12:40:41Z
dc.title.none.fl_str_mv Effects of macroeconomic announcements on stock returns across volatility regimes
title Effects of macroeconomic announcements on stock returns across volatility regimes
spellingShingle Effects of macroeconomic announcements on stock returns across volatility regimes
Aray, Henry
Markov switching model
Macroeconomic announcements
Stock returns
title_short Effects of macroeconomic announcements on stock returns across volatility regimes
title_full Effects of macroeconomic announcements on stock returns across volatility regimes
title_fullStr Effects of macroeconomic announcements on stock returns across volatility regimes
title_full_unstemmed Effects of macroeconomic announcements on stock returns across volatility regimes
title_sort Effects of macroeconomic announcements on stock returns across volatility regimes
dc.creator.none.fl_str_mv Aray, Henry
author Aray, Henry
author_facet Aray, Henry
author_role author
dc.subject.none.fl_str_mv Markov switching model
Macroeconomic announcements
Stock returns
topic Markov switching model
Macroeconomic announcements
Stock returns
description Based on a simple Markov regime switching model, this article presents evidence on the effects of macroeconomic announcements on individual stocks returns. The model specification allows two regimes to be distinguished: one with high volatility and the other with low volatility. Considering the level of significance at 5%, the response of stock returns to macroeconomic announcements is much stronger in the low volatility regime. However, the effects of the Fama-French factors on individual stock returns is unambiguously significant in both regimes.
publishDate 2008
dc.date.none.fl_str_mv 2008
2008-01-01
dc.type.none.fl_str_mv report
http://purl.org/coar/resource_type/c_93fc
NA
http://purl.org/coar/version/c_be7fb7dd8ff6fe43
info:eu-repo/semantics/report
format report
dc.identifier.none.fl_str_mv http://hdl.handle.net/10481/31542
url http://hdl.handle.net/10481/31542
dc.language.none.fl_str_mv Inglés
eng
language_invalid_str_mv Inglés
language eng
dc.rights.none.fl_str_mv open access
http://purl.org/coar/access_right/c_abf2
info:eu-repo/semantics/openAccess
rights_invalid_str_mv open access
http://purl.org/coar/access_right/c_abf2
eu_rights_str_mv openAccess
dc.publisher.none.fl_str_mv Universidad de Granada. Departamento de Teoría e Historia Económica
publisher.none.fl_str_mv Universidad de Granada. Departamento de Teoría e Historia Económica
dc.source.none.fl_str_mv reponame:Digibug. Repositorio Institucional de la Universidad de Granada
instname:Universidad de Granada (UGR)
instname_str Universidad de Granada (UGR)
reponame_str Digibug. Repositorio Institucional de la Universidad de Granada
collection Digibug. Repositorio Institucional de la Universidad de Granada
repository.name.fl_str_mv
repository.mail.fl_str_mv
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