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Macroeconomic news announcement effects in financial markets. / Kevin Philip Evans

Swansea University Author: Kevin Philip Evans

Abstract

The interdependence between financial markets and economic fundamentals has formed an important part of financial economics research for many years including the asset pricing, market microstructure and financial econometrics literatures. This thesis contributes to these areas by investigating the i...

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Published: 2007
Institution: Swansea University
Degree level: Doctoral
Degree name: Ph.D
URI: https://cronfa.swan.ac.uk/Record/cronfa42612
first_indexed 2018-08-02T18:55:07Z
last_indexed 2018-08-03T10:10:37Z
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recordtype RisThesis
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spelling 2018-08-02T16:24:29.8369989 v2 42612 2018-08-02 Macroeconomic news announcement effects in financial markets. 6a81feeb6b69567aab6e8bc5d70affc6 NULL Kevin Philip Evans Kevin Philip Evans true true 2018-08-02 The interdependence between financial markets and economic fundamentals has formed an important part of financial economics research for many years including the asset pricing, market microstructure and financial econometrics literatures. This thesis contributes to these areas by investigating the impact of macroeconomic news announcements on financial markets through three substantial empirical chapters. In the first, real-time monthly UK macroeconomic variables comprise potential risk factors within a test of the Arbitrage Pricing Theory, the results of which confirm that unexpected inflation and investment uncertainty are significantly priced. The key innovation in this research is the identification of asymmetric risk pricing in the sense that these factors are only priced during periods of the business cycle when their associated risks are most prevalent. The second empirical study utilises high frequency data to assess the very short-run reaction of Euro exchange rates to macroeconomic news announcements. Using this new data set and a wider set of international economic indicators than considered hitherto, this chapter contributes to the literature by modelling simultaneously the intraday patterns, macroeconomic announcement effects and fractional integration in volatility, thereby permitting robust estimation of the effects of news announcements and their associated information surprise on returns and volatility. US news indicators are found to dominate Euro exchange rate volatilities, causing both extreme short lived returns and violent, more persistent increases in volatility. In further exploration of such effects, but in the context of futures markets, the third empirical chapter reported considers a continuous time jump diffusion model and implements very recently developed non-parametric techniques to identify daily jump variation and intraday jumps. Jumps are found to be important components of the price process, through their size, intensity and contribution to quadratic variation. Many jumps are caused by US macroeconomic news and the information surprises delivered by data releases explain vast proportions of these jumps, confirming that news has an immediate impact and that asset prices are indeed closely linked to economic fundamentals. E-Thesis Economics.;Finance. 31 12 2007 2007-12-31 COLLEGE NANME Economics COLLEGE CODE Swansea University Doctoral Ph.D 2018-08-02T16:24:29.8369989 2018-08-02T16:24:29.8369989 Faculty of Humanities and Social Sciences School of Management - Economics Kevin Philip Evans NULL 1 0042612-02082018162508.pdf 10805370.pdf 2018-08-02T16:25:08.1830000 Output 32669413 application/pdf E-Thesis true 2018-08-02T16:25:08.1830000 false
title Macroeconomic news announcement effects in financial markets.
spellingShingle Macroeconomic news announcement effects in financial markets.
Kevin Philip Evans
title_short Macroeconomic news announcement effects in financial markets.
title_full Macroeconomic news announcement effects in financial markets.
title_fullStr Macroeconomic news announcement effects in financial markets.
title_full_unstemmed Macroeconomic news announcement effects in financial markets.
title_sort Macroeconomic news announcement effects in financial markets.
author_id_str_mv 6a81feeb6b69567aab6e8bc5d70affc6
author_id_fullname_str_mv 6a81feeb6b69567aab6e8bc5d70affc6_***_Kevin Philip Evans
author Kevin Philip Evans
author2 Kevin Philip Evans
format E-Thesis
publishDate 2007
institution Swansea University
college_str Faculty of Humanities and Social Sciences
hierarchytype
hierarchy_top_id facultyofhumanitiesandsocialsciences
hierarchy_top_title Faculty of Humanities and Social Sciences
hierarchy_parent_id facultyofhumanitiesandsocialsciences
hierarchy_parent_title Faculty of Humanities and Social Sciences
department_str School of Management - Economics{{{_:::_}}}Faculty of Humanities and Social Sciences{{{_:::_}}}School of Management - Economics
document_store_str 1
active_str 0
description The interdependence between financial markets and economic fundamentals has formed an important part of financial economics research for many years including the asset pricing, market microstructure and financial econometrics literatures. This thesis contributes to these areas by investigating the impact of macroeconomic news announcements on financial markets through three substantial empirical chapters. In the first, real-time monthly UK macroeconomic variables comprise potential risk factors within a test of the Arbitrage Pricing Theory, the results of which confirm that unexpected inflation and investment uncertainty are significantly priced. The key innovation in this research is the identification of asymmetric risk pricing in the sense that these factors are only priced during periods of the business cycle when their associated risks are most prevalent. The second empirical study utilises high frequency data to assess the very short-run reaction of Euro exchange rates to macroeconomic news announcements. Using this new data set and a wider set of international economic indicators than considered hitherto, this chapter contributes to the literature by modelling simultaneously the intraday patterns, macroeconomic announcement effects and fractional integration in volatility, thereby permitting robust estimation of the effects of news announcements and their associated information surprise on returns and volatility. US news indicators are found to dominate Euro exchange rate volatilities, causing both extreme short lived returns and violent, more persistent increases in volatility. In further exploration of such effects, but in the context of futures markets, the third empirical chapter reported considers a continuous time jump diffusion model and implements very recently developed non-parametric techniques to identify daily jump variation and intraday jumps. Jumps are found to be important components of the price process, through their size, intensity and contribution to quadratic variation. Many jumps are caused by US macroeconomic news and the information surprises delivered by data releases explain vast proportions of these jumps, confirming that news has an immediate impact and that asset prices are indeed closely linked to economic fundamentals.
published_date 2007-12-31T19:40:50Z
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score 11.048302

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