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Aymen Belgacem and Amine Lahiani
''More on the impact of US macroeconomic announcements: Evidence from French and German stock markets' volatility''
( 2012, Vol. 32 No.2 )
This paper investigates the impact of US scheduled macroeconomic announcements on the domestic, the French and the German market, respectively using an augmented version of the multivariate DCC-GARCH model. Our setting allows to separate the direct effect (common response), from the indirect effect (volatility transmission) of the US macroeconomic announcements on the two European markets. Empirical results show evidence of a direct reaction of French and German investors to some common as well as specific US macroeconomic news. More interestingly, a significant bidirectional volatility spillover after the release of some macroeconomic news is found to be apparent, either between the US and German markets or between the US and French markets, although the French market shows a more sensitivity to US macroeconomic surprises than the German market. These findings suggest a stronger integration of the US stock market with the French market rather than with the German market.
Keywords: Stock Prices; Macroeconomic Announcements, Volatility Spillovers, Market integration.
C5 - Econometric Modeling: General
Manuscript Received : Feb 10 2012 Manuscript Accepted : May 20 2012

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