More on the Impact of US Macroeconomic Announcements: Evidence from French and German Stock Markets’ volatility
Mardi | 2012-04-17 B103 Aymen BELGACEM – Amine LAHIANI This paper investigates the impact of US scheduled macroeconomic announcementson the domestic, the French and the German market, respectively using anaugmented version of the multivariate DCC-GARCH model. Our setting allows toseparate the direct effect (common response), from the indirect effect(volatility transmission) of the US macroeconomic announcements on the two European markets. Empirical results show evidence of a direct reaction of French and German investors to some common as well as specific […]