Please use this identifier to cite or link to this item: http://buratest.brunel.ac.uk/handle/2438/12503
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dc.contributor.authorCaporale, GM-
dc.contributor.authorSpagnolo, F-
dc.contributor.authorSpagnolo, N-
dc.date.accessioned2016-04-18T09:25:49Z-
dc.date.available2016-04-18T09:25:49Z-
dc.date.issued2016-
dc.identifier.citationInternational Review of Financial Analysis, 45: pp. 180 - 188, (2016)en_US
dc.identifier.issn1057-5219-
dc.identifier.urihttp://www.sciencedirect.com/science/article/pii/S1057521916300461-
dc.identifier.urihttp://bura.brunel.ac.uk/handle/2438/12503-
dc.description.abstractThis paper analyses the effects of newspaper coverage of macro news on stock returns in eight countries belonging to the euro area (Belgium, France, Germany, Greece, Ireland, Italy, Portugal and Spain) using daily data for the period 1994-2013. The econometric analysis is based on the estimation of a VAR-GARCH-in-mean model. The results can be summarised as follows. Positive (negative) news have significant positive (negative) effects on stock returns in all cases. Their volatility has a significant impact on both stock returns and volatility; specifically, an increase in news volatility is always associated with a decrease in stock returns. Markets are particularly responsive to negative news, and the reaction is bigger in the PIIGS countries, and during the recent crisis period.en_US
dc.format.extent180 - 188-
dc.language.isoenen_US
dc.publisherElsevieren_US
dc.subjectMacro newsen_US
dc.subjectVolatility spilloversen_US
dc.subjectVAR-GARCH-in-mean modelen_US
dc.titleMacro news and stock returns in the euro area: a VAR-GARCH-in-mean analysisen_US
dc.typeArticleen_US
dc.identifier.doihttp://dx.doi.org/doi:10.1016/j.irfa.2016.03.016-
dc.relation.isPartOfInternational Review of Financial Analysis-
pubs.publication-statusPublished-
pubs.volume45-
Appears in Collections:Dept of Economics and Finance Research Papers

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