文章基本信息

标题：Does U.S. macroeconomic news make emerging financial markets riskier?
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作者：Esin Cakan ; Nadia Doytch ; Kamal P. Upadhyaya 等
期刊名称：Borsa Istanbul Review
印刷版ISSN：2214-8450
出版年度：2013
卷号：15
期号：1
页码：1-7
DOI：10.1016/j.bir.2014.10.002
出版社：Elsevier B.V.
摘要：This study analyzes the impacts of US macroeconomic announcement surprises on the volatility of twelve emerging stock markets by employing asymmetric GJR-GARCH model. The model includes both positive and negative surprises about inflation and unemployment rate announcements in the U.S. We find that volatility shocks are persistent and asymmetric. Asymmetric volatility increases with bad news on US inflation in five out of the twelve countries studied and it increases with a bad news on U.S. unemployment in four out of twelve countries. Asymmetric volatility decreases with good news about US employment situation in eight countries out of twelve countries. Such markets become less risky with an unexpected decrease in unemployment rate in the US. Our findings are important for demonstrating that USA economic growth and employment situation has an impact on many emerging stock markets and that positive US macroeconomic news in fact make many emerging stock markets less volatile. Previous article in issue Next article in issue.
关键词：Asymmetric GARCH; Emerging markets; Macroeconomic news; Surprises