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IJFS
Special Issues
Macro News and Financial Variables
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Macro News and Financial Variables

A special issue of International Journal of Financial Studies (ISSN 2227-7072).

Deadline for manuscript submissions: closed (31 January 2019) | Viewed by 9653

Special Issue Editor

Prof. Dr. Guglielmo Maria Caporale

E-Mail Website
Guest Editor
Department of Economic and Finance, Brunel University, London UB8 3PH, UK
Interests: international finance; macroeconomics; monetary and financial economics; econometrics

Special Issue Information

Dear Colleagues,

The impact of macro news on financial variables is a topic that has attracted increasing interest in recent years. According to the efficient market hypothesis (EMH, see Fama, 1970), asset prices should fully reflect all available information and therefore react only to the arrival of new information in the form of "surprises" affecting agents’ expectations about future economic activity, and in turn cash flows and the discount factor. This Special Issue will focus on empirical tests of this hypothesis based on the impact of news at various data frequencies. Issues such as threshold effects, asymmetric (depending on the sign of the news) and state-dependent responses (where the phase of the economic cycle is identified on the basis of the deviations from trend of industrial production) etc. in various financial markets (stock markets, commodity markets, FOREX, etc.) will be of interest.

Prof. Guglielmo Maria Caporale
Guest Editor

Manuscript Submission Information

Manuscripts should be submitted online at www.mdpi.com by registering and logging in to this website. Once you are registered, click here to go to the submission form. Manuscripts can be submitted until the deadline. All submissions that pass pre-check are peer-reviewed. Accepted papers will be published continuously in the journal (as soon as accepted) and will be listed together on the special issue website. Research articles, review articles as well as short communications are invited. For planned papers, a title and short abstract (about 100 words) can be sent to the Editorial Office for announcement on this website.

Submitted manuscripts should not have been published previously, nor be under consideration for publication elsewhere (except conference proceedings papers). All manuscripts are thoroughly refereed through a single-blind peer-review process. A guide for authors and other relevant information for submission of manuscripts is available on the Instructions for Authors page. International Journal of Financial Studies is an international peer-reviewed open access quarterly journal published by MDPI.

Please visit the Instructions for Authors page before submitting a manuscript. The Article Processing Charge (APC) for publication in this open access journal is 1800 CHF (Swiss Francs). Submitted papers should be well formatted and use good English. Authors may use MDPI's English editing service prior to publication or during author revisions.

Keywords

  • macro news
  • financial markets
  • volatility
  • market efficiency

Published Papers (1 paper)

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Research

13 pages, 240 KiB  
Article
The Impact of Macroeconomic Factors on the German Stock Market: Evidence for the Crisis, Pre- and Post-Crisis Periods
by Kaan Celebi and Michaela Hönig
Int. J. Financial Stud. 2019, 7(2), 18; https://doi.org/10.3390/ijfs7020018 - 29 Mar 2019
Cited by 27 | Viewed by 9384
Abstract
Today we live in a post-truth and highly digitalized era characterized by a flow of (mis-) information around the world. Identifying the impact of this information on stock markets and forecasting stock returns and volatilities has become a much more difficult task, perhaps [...] Read more.
Today we live in a post-truth and highly digitalized era characterized by a flow of (mis-) information around the world. Identifying the impact of this information on stock markets and forecasting stock returns and volatilities has become a much more difficult task, perhaps almost impossible. This paper investigates the impact of macroeconomic factors, German government bond yields, sentiment and other leading indicators on the main German stock index, namely the DAX30, for the time period from 1991 to 2018. Using a dataset on 24 factors and over a timeframe of about 27 years, we found evidence that across most subsamples, the Composite Leading Indicator (OECD), the Institute for Economic Research (ifo) Export Expectations index, the ifo Export Climate index, exports, the Consumer Price Index CPI, as well as 3 y German government bonds yields show delayed impacts on stock returns. We further found that the delayed impact of the constituents of the monetary aggregate M2 on stock returns changed direction between the crisis and post-crisis periods. Overall, the results illustrate that in the crisis period a larger number of factors and economic indicators had significant impacts on the stock returns compared to the pre- and post-crisis periods. This implies that in the post-crisis period a macro-driven market prevails. Full article
(This article belongs to the Special Issue Macro News and Financial Variables)
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