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 11370
Special Issue Editor
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
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Keywords
- macro news
- financial markets
- volatility
- market efficiency
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