Effects of macroeconomic announcements on stock returns across volatility regimes
Identificadores
URI: http://hdl.handle.net/10481/31542Metadatos
Afficher la notice complèteAuteur
Aray, HenryEditorial
Universidad de Granada. Departamento de Teoría e Historia Económica
Materia
Markov switching model Macroeconomic announcements Stock returns
Date
2008Referencia bibliográfica
Aray, H. Effects of macroeconomic announcements on stock returns across volatility regimes. Universidad de Granada. Departamento de Teoría e Historia Económica (2008). (The Papers; 08/17). [http://hdl.handle.net/10481/31542]
Patrocinador
Financial support from the Spanish Ministry of Education and Science, through Project SEJ2007-62081/ECON.Résumé
Based on a simple Markov regime switching model, this article presents evidence on the effects of macroeconomic announcements on individual stocks returns. The model specification allows two regimes to be distinguished: one with high volatility and the other with low volatility. Considering the level of significance at 5%, the response of stock returns to macroeconomic announcements is much stronger in the low volatility regime. However, the effects of the Fama-French factors on individual stock returns is unambiguously significant in both regimes.