| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 982976 | Procedia Economics and Finance | 2014 | 11 Pages |
This paper studies theimpact of euro area macroeconomic announcements on CIVETS (Colombia, Indonesia, Vietnam, Egypt, Turkey, and South Africa) stock markets. A link between euro area macroeconomic announcements and CIVETS stock markets is found. The data used is from between 2007 and 2012.Euro area macroeconomic news are shown to affect CIVETS stock market volatility and in some instances the stock returns. Evidence on the impact of overall European macroeconomic news on stock market volatility is found for Colombia, Vietnam, Egypt, and Turkey. European announcements about GDP, retail sales, and unemployment have a significant effect on the stock returns. According to our results, CIVETS stock markets seem to exhibit a negative relationship between market returns and volatility: negative news have a leverage effect for the most of CIVETS stock markets, as greater volatility is generated by negative than by positive shocks. The results may be applied for asset pricing and portfolio selection and the assessment of investment decisions with respect to macroeconomic news releases.
