01744cas a2200253 a 4500 AALejournalIMF002231 230101c9999 xx r poo 0 0eng d 5.00 USD 9781451875782 1018-5941 BD-DhAAL BD-DhAAL Funke, Norbert. Macroeconomic News and Stock Returns in the United States and Germany / Norbert Funke, Akimi Matsuda. Washington, D.C. : International Monetary Fund, 2002. 1 online resource (30 pages) IMF Working Papers <strong>Off-Campus Access:</strong> No User ID or Password Required <strong>On-Campus Access:</strong> No User ID or Password Required Electronic access restricted to authorized BRAC University faculty, staff and students Using daily data for the January 1997 to June 2002 period, we analyze the impact of a broad set of macroeconomic news on stock prices in the United States and Germany. With GARCH specifications we test five hypotheses and find that news on real economic activity has a significant impact on stock prices. The effects vary between different types of stocks and depend on the state of the economy. In a boom period, bad economic news may be good news for stock prices. For German stock prices, international news is at least as important as domestic news. The analysis of bihourly data suggests that the main effect occurs within a short period of time. Mode of access: Internet Matsuda, Akimi. IMF Working Papers; Working Paper ; No. 2002/239 Full text available on IMF http://elibrary.imf.org/view/journals/001/2002/239/001.2002.issue-239-en.xml IMF e-Library