واکنش بازار سهام جهانی به اطلاعیه های برنامه ریزی شده اخبار اقتصاد کلان ایالات متحده

This study investigates how global stock markets are integrated with respect to the U.S. macroeconomic news announcements. Although both investors on U.S. and non-U.S. stock markets are interested in those news releases their general importance to stock market investors can be expected to vary across economic regions as a result of differences in dependence on international trade, size of the market, foreign ownership and the industrial and economic structures. To investigate this issue we analyze the behavior of GARCH volatilities around ten important scheduled U.S. macroeconomic news announcements on 35 local stock markets that are divided in six regions. The results show that the G7 countries, the European countries other than G7 countries, developed Asian countries and emerging Asian countries are closely integrated with respect to the U.S. macroeconomic news, while Latin America and Transition economies are not affected by U.S. news. These results support the earlier findings, such as Bekaert and Harvey [Bekart, G. and Harvey, C., 1995, Time varying world market integration, Journal of Finance 50, 403–444.] and Rockinger and Urga [Rockinger, M. and Urga, G. 2001. A time-varying parameter model to test for the predictability and integration in the stock markets of Transition economies, Journal of Business and Economic Statistcs 19, 73–84.], that the market integration is high among the major stock markets while some emerging markets are segmented. This implies that the international investors are able to obtain diversification benefit by investing in those segmented emerging regions.

This study focuses on stock market integration. The study investigates especially how global stock markets are integrated with respect to the scheduled U.S. macroeconomic news announcements. While the existing literature such as Bracker and Koch (1999) and Martens and Poon (2001) examine correlation structures across international equity markets and Booth, Martikainen, and Tse (1977) investigate the spillover phenomenon, the issue of integration with respect to scheduled announcements has, despite its importance, received less attention so far. This study aims to fill this gap. Both investors on U.S. and non-U.S. stock markets are interested in the situation of the U.S. economy because of its leading role in the world economy. U.S. macroeconomic news is undisputedly one of the main issues of interest on stock markets worldwide, as they concern investors both on U.S. and non-U.S. stock markets. For investors operating on the U.S. stock market, the importance of different scheduled news announcement varies as shown, for example, by Bollerslev, Cai, and Song (2000) and Graham, Nikkinen, and Sahlström (2003). Similarly, their importance for investors on non-U.S. stock markets can be expected to vary. Although the order of importance of macroeconomic news releases is likely to be the same on all stock markets, their general importance to stock market investors can be expected to vary across different economic areas. Previously, the overseas impact of the U.S. macroeconomic news on stock markets has been documented by Becker, Finnerty, and Friedmam (1995) for U.K. stock market, Kim (2003) for advanced Asia-Pacific stock markets, Connolly and Wang (2003) for U.S., U.K. and Japan stock markets, and Nikkinen and Sahlström (2004a) for German and Finnish stock markets.1 The purpose of this study is to examine the impact of scheduled U.S. macroeconomic news announcements on global stock markets reactions. To achieve this goal, we analyze the behavior of GARCH volatilities around ten important scheduled U.S. macroeconomic news announcements on 35 local stock markets. The macroeconomic news announcements investigated are consumer confidence, consumer price index, employment cost index, employment situation, gross domestic product, import and export price indices, NAPM (National Association of Purchasing Management report): manufacturing and non-manufacturing, producer price index and retail sales. The local stock markets represent the G7 countries, the European countries other than G7 countries, developed and emerging Asian countries, the countries of Latin America and countries from Transition economies. In this paper, it is hypothesized that uncertainty associated with the announcements of the U.S. economic indicators is reflected differently in volatilities of local stock exchanges. This is to be expected, given that the stock markets differ considerably in terms of size, industrial diversity, and proportion of foreign ownership. The magnitude of reaction is therefore hypothesized to depend on the degree of integration and development of the particular market. The degree of economic integration affects stock market reactions in two main ways. First, it affects the performance of companies from small and medium-sized enterprises (SMEs) to large multinational companies (MNCs). For example, MNCs are not dependent on the situation on one particular market but the worldwide economic situation affects their performance. Similarly, the success of SMEs can either depend directly on the worldwide economic situation or indirectly, for example, through their multinational customers. Second, stocks of local exchanges are owned by both local and foreign investors and the proportion of foreign ownership varies across different exchanges and over time. Consequently, the worldwide economic situation affects local stock prices but the magnitude can be expected to vary. How integrated the world's stock markets really are with respect to the scheduled U.S. macroeconomic news announcements is an empirical question, which is investigated in this study. The paper contributes to the existing literature in two main respects. First, it adds a different angle to the existing spillover literature (see e.g. Booth et al., 1997, King and Wadhwani, 1990, Martens and Poon, 2001 and Nikkinen and Sahlström, 2004b), in which it is shown that markets are integrated in terms of stock returns and volatilities. While the spillover literature investigates return and volatility transmissions across countries, this study examines how the widely followed macroeconomic news announcements from the world's largest economy affect volatilities on different stock markets worldwide. Furthermore, while Nasseh and Strauss (2000) and Connolly and Wang (2003) investigate whether the development in economic fundamentals around world markets can explain return co-movements between them, this paper directly examines how important U.S. macroeconomic news releases affect uncertainty on international stock markets on the event day. Second, the paper extends the studies by Becker et al. (1995), Kim (2003), and Nikkinen and Sahlström (2004a). While these studies investigate the impact of U.S. macroeconomic news announcements on a few stock markets outside the U.S., the present study compares the importance of U.S. macroeconomic news in stock valuation on all main economic regions around the world. The approach of investigating the effects of U.S. macroeconomic news announcements on global markets simultaneously makes it possible to compare the relative effects of the news announcements around the world. The results of the paper further show that especially reports on the employment situation, the employment cost index, producer and consumer price indices, and NAPM figures are important market-wide measures of the economy, which affect the financial markets in the main economic regions. We find especially that the impact of U.S. macroeconomic news is very similar among G7, European and Asian markets. Our results also show that there are some regions, like countries in Latin America and Transition economies that are not affected by U.S. macroeconomic news announcements, indicating that these regions are segmented markets. These findings are consistent, for example, with Bekart and Harvey (1995) and Rockinger and Urga (2001). The rest of the study is organized as follows. Section 2 reviews theory regarding the behavior of stock returns and volatilities around scheduled news announcements. Section 3 describes the data used in the study and Section 4 presents the research methodology. Section 5 provides the empirical results. Finally, summary and concluding remarks are given in Section 6.

This paper investigates how global stock markets are integrated with respect to the scheduled U.S. macroeconomic news announcements. Both investors on U.S. and non-U.S. stock markets are interested in the situation of the U.S. economy because of its leading role in the development of the world economy. The U.S. macroeconomic news is therefore undisputedly one of the main issues of interest for stock market worldwide, as it concerns investors both on U.S. and non-U.S. stock markets. Although the order of importance of macroeconomic news releases is likely to be same on all stock markets, their general importance to stock market investors can be expected to vary across economic regions as a result of differences in dependence on international trade, size of the market, foreign ownership and the industrial and economic structures. Consequently, the degree of integration of the world's stock markets with respect to the scheduled U.S. macroeconomic news announcements is an empirical question. To investigate this issue we analyze the behavior of GARCH volatilities around ten important scheduled U.S. macroeconomic news announcements on 35 local stock markets that are divided into six regions. These regions are the G7 countries, the European countries other than G7 countries, developed and emerging Asian countries, the countries of Latin America and countries from Transition economies. The results of the study confirm earlier findings that the consumer price index, employment cost index, employment situation and NAPM reports are the most influential U.S. macroeconomic news releases (see e.g. Bollerslev et al., 2000 and Graham et al., 2003). However, as hypothesized, the general importance of the news releases varies across the world's regions. The results show that the G7 countries, European countries other than G7 countries, developed Asian countries and emerging Asian countries are closely integrated with the world's stock market, as the results show that the impact of various macroeconomic news is similar among these regions. On the other hand, Latin America and Transition economies are not affected by U.S. macroeconomic news announcements and therefore are not integrated with the world's stock markets. In general, the results of the study support the earlier findings, such as those by Bekart and Harvey (1995) and Rockinger and Urga (2001) that market integration is high among the major stock markets while some emerging markets are segmented. This implies that the international investors are able to obtain diversification benefit by investing in those emerging regions. Investors, however, should be careful in picking those markets as the results show that not all the emerging markets, like emerging markets in Asia, are proving the diversification benefit or at least they are also dependent on the U.S. economy.