Macroeconomic News and Stock Returns in the United States and Germany /
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 pri...
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| Formato: | Revista |
| Lenguaje: | English |
| Publicado: |
Washington, D.C. :
International Monetary Fund,
2002.
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| Colección: | IMF Working Papers; Working Paper ;
No. 2002/239 |
| Acceso en línea: | Full text available on IMF |