Impact of Scheduled U.S. Macroeconomic News on Stock Market Uncertainty: A Multinational Perspecive

Nikkinen, Jussi; Sahlström, Petri

Volume 5, Number 2 / June , Pages 87-154

Multinational Finance Journal, 2001, vol. 5, no. 2, pp. 129-148

Jussi Nikkinen , University of Vaasa, Finland Corresponding Author

Petri Sahlström , University of Vaasa, Finland

Abstract:
This study examines how the U.S. macroeconomic news releases affect uncertainty in domestic and foreign stock exchanges. For that purpose, the behavior of the implied volatilities from the U.S. and Finnish markets is investigated around the employment, producer price index (PPI) and consumer price index (CPI) reports. The results confirm the hypothesis that implied volatility increases prior to the macroeconomic news release and drops after the announcement in both markets. This implies that uncertainty associated with the U.S. macroeconomic news releases is reflected in foreign stock markets as well. Of the macroeconomic news releases, the employment report has the largest impact on uncertainty

Keywords : implied volatility; index options; macroeconomic news; uncertainty
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