The price impact of macroeconomic news on capital markets:
Saved in:
| Main Author: | |
|---|---|
| Format: | Thesis Book |
| Language: | English |
| Published: |
Hamburg
Kovač
2009
|
| Series: | Schriftenreihe Finanzmanagement
66 |
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | XVII, 201 S. graph. Darst. |
| ISBN: | 9783830047919 |
Staff View
MARC
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| 245 | 1 | 0 | |a The price impact of macroeconomic news on capital markets |c Alexandra Niessen |
| 264 | 1 | |a Hamburg |b Kovač |c 2009 | |
| 300 | |a XVII, 201 S. |b graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 490 | 1 | |a Schriftenreihe Finanzmanagement |v 66 | |
| 502 | |a Zugl.: Köln, Univ., Diss., 2009 | ||
| 650 | 4 | |a Aktienmarkt - Preisbildung - Wirtschaftsinformation | |
| 650 | 7 | |a Aktienmarkt |2 stw | |
| 650 | 7 | |a Ankündigungseffekt |2 stw | |
| 650 | 7 | |a Börsenkurs |2 stw | |
| 650 | 7 | |a Deutschland |2 stw | |
| 650 | 7 | |a Informationseffizienz |2 stw | |
| 650 | 7 | |a Makroökonomischer Einfluss |2 stw | |
| 650 | 7 | |a Rentenmarkt |2 stw | |
| 650 | 7 | |a Rohstoff-Futures |2 stw | |
| 650 | 7 | |a Schätzung |2 stw | |
| 650 | 7 | |a Zins |2 stw | |
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Record in the Search Index
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|---|---|
| adam_text | Contents
List of Figures
viii
List of Tables
ix
List of Variables
xii
List of Abbreviations
xiv
Acknowledgements
xvii
1
Introduction
1
2
Theoretical foundations of the price impact of macroeconomic news
9
2.1
Introduction
................................. 9
2.2
Price impact on the bond market
..................... 12
2.2.1
Real vs. nominal interest rates
................... 14
2.2.2
Spot vs. futures markets
...................... 17
2.2.2.1
The
Т
-bond
futures contract
.............. 19
2.2.2.2
The impact of CTD changes
............... 23
2.3
Price impact on the stock market
..................... 27
2.3.1
The Gordon Growth Model (GGM)
................ 29
2.3.2
An extended GGM with firm characteristics
........... 32
v
2.3.2.1
Firm specific dividend growth rate
........... 33
2.3.2.2
Firm specific risk premium
............... 38
2.4
Price impact on commodities markets
................... 42
2.5
Summary
.................................. 46
3
Empirical results on the price impact of macroeconomic news
49
3.1
Introduction
................................. 49
3.1.1
Sign of the released information
.................. 52
3.1.2
Precision of the released information
............... 55
3.1.3
The impact of the business cycle
................. 59
3.2
Price impact on the bond market
..................... 62
3.2.1
The impact of the release time
................... 63
3.2.1.1
Determinants of the relative market impact
-
a sequen¬
tial Bayesian learning model
............... 65
3.2.1.2
Data and implementation of the model
......... 72
3.2.1.3
Empirical results on the relative market impact
.... 85
3.2.1.4
Summary
......................... 100
3.2.2
The impact of media coverage
................... 101
3.2.2.1
Data
............................ 103
3.2.2.2
Unconditional price impact of macroeconomic news on
German bund futures
.................. 108
3.2.2.3
Asymmetric price impact conditional on media coverage
113
3.2.2.4
Summary
......................... 121
3.3
Price impact on the stock market
..................... 122
3.3.1
Determinants of the stock price response to unemployment news
123
3.3.1.1
Time series forecasts of the unemployment rate
.... 124
vi
3.3.1.2
S&P
500
returns and unemployment news
....... 129
3.3.1.3
Impact of the interest rate, risk premium, and growth
rate channels
....................... 133
3.3.2
Industry returns and unemployment news
............ 140
3.3.3
Summary
.............................. 148
3.4
Price impact on commodities markets
.................. 149
3.4.1
Data
................................. 153
3.4.2
Unconditional price impact of
macroeconomic
news on commod¬
ity futures
.............................. 161
3.4.3
Asymmetric price impact conditional on the business cycle
. . . 166
3.4.3.1
Basic results
....................... 166
3.4.3.2
Robustness to alternative business cycle definitions
. . 170
3.4.4
Summary
.............................. 172
4
Conclusion
175
Appendix
179
|
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| dewey-ones | 332 - Financial economics |
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| dewey-search | 332.642 |
| dewey-sort | 3332.642 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
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| id | DE-604.BV035770234 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T22:04:08Z |
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| isbn | 9783830047919 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-018629949 |
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| physical | XVII, 201 S. graph. Darst. |
| publishDate | 2009 |
| publishDateSearch | 2009 |
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| publisher | Kovač |
| record_format | marc |
| series | Schriftenreihe Finanzmanagement |
| series2 | Schriftenreihe Finanzmanagement |
| spelling | Niessen, Alexandra Verfasser aut The price impact of macroeconomic news on capital markets Alexandra Niessen Hamburg Kovač 2009 XVII, 201 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Schriftenreihe Finanzmanagement 66 Zugl.: Köln, Univ., Diss., 2009 Aktienmarkt - Preisbildung - Wirtschaftsinformation Aktienmarkt stw Ankündigungseffekt stw Börsenkurs stw Deutschland stw Informationseffizienz stw Makroökonomischer Einfluss stw Rentenmarkt stw Rohstoff-Futures stw Schätzung stw Zins stw Aktienmarkt (DE-588)4130931-5 gnd rswk-swf Wirtschaftsinformation (DE-588)4431208-8 gnd rswk-swf Preisbildung (DE-588)4047103-2 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Aktienmarkt (DE-588)4130931-5 s Preisbildung (DE-588)4047103-2 s Wirtschaftsinformation (DE-588)4431208-8 s DE-604 Schriftenreihe Finanzmanagement 66 (DE-604)BV013087358 66 Digitalisierung UB Regensburg application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=018629949&sequence=000004&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Niessen, Alexandra The price impact of macroeconomic news on capital markets Schriftenreihe Finanzmanagement Aktienmarkt - Preisbildung - Wirtschaftsinformation Aktienmarkt stw Ankündigungseffekt stw Börsenkurs stw Deutschland stw Informationseffizienz stw Makroökonomischer Einfluss stw Rentenmarkt stw Rohstoff-Futures stw Schätzung stw Zins stw Aktienmarkt (DE-588)4130931-5 gnd Wirtschaftsinformation (DE-588)4431208-8 gnd Preisbildung (DE-588)4047103-2 gnd |
| subject_GND | (DE-588)4130931-5 (DE-588)4431208-8 (DE-588)4047103-2 (DE-588)4113937-9 |
| title | The price impact of macroeconomic news on capital markets |
| title_auth | The price impact of macroeconomic news on capital markets |
| title_exact_search | The price impact of macroeconomic news on capital markets |
| title_full | The price impact of macroeconomic news on capital markets Alexandra Niessen |
| title_fullStr | The price impact of macroeconomic news on capital markets Alexandra Niessen |
| title_full_unstemmed | The price impact of macroeconomic news on capital markets Alexandra Niessen |
| title_short | The price impact of macroeconomic news on capital markets |
| title_sort | the price impact of macroeconomic news on capital markets |
| topic | Aktienmarkt - Preisbildung - Wirtschaftsinformation Aktienmarkt stw Ankündigungseffekt stw Börsenkurs stw Deutschland stw Informationseffizienz stw Makroökonomischer Einfluss stw Rentenmarkt stw Rohstoff-Futures stw Schätzung stw Zins stw Aktienmarkt (DE-588)4130931-5 gnd Wirtschaftsinformation (DE-588)4431208-8 gnd Preisbildung (DE-588)4047103-2 gnd |
| topic_facet | Aktienmarkt - Preisbildung - Wirtschaftsinformation Aktienmarkt Ankündigungseffekt Börsenkurs Deutschland Informationseffizienz Makroökonomischer Einfluss Rentenmarkt Rohstoff-Futures Schätzung Zins Wirtschaftsinformation Preisbildung Hochschulschrift |
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| volume_link | (DE-604)BV013087358 |
| work_keys_str_mv | AT niessenalexandra thepriceimpactofmacroeconomicnewsoncapitalmarkets |