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The purpose of this paper is to investigate the spillover effect of the US macroeconomic news on the first two moments of the Vietnamese stock market returns.

The author collected market expectation and actual announcements data for 12 key US macroeconomic announcements for the period from August 2000 to September 2009 from Bloomberg. The dataset consists of monthly Non‐farm payroll (NFPM), Unemployment level (UNEMP), Gross Domestic Product percentage level (GDP), Housing statistics (HOMEST), Industrial production (INDP), Leading Indicator (LEAD), Retail Sales (SALES), Consumer Price Index (CPI), Producer Index (PPI), Current Account (CA, quarterly), Trade Balance (BOT), and the Federal Reserve's target rates (FOMC, 8 times a year and ad hoc meetings if needed). The MA‐EGARCH (1,1) model is used for the empirical test of the US macroeconomic news spillover effects on the VNI index.

In general, the US real economic news has the strongest effect on the first two moments of the Vietnamese stock returns. This can be interpreted as evidence that Vietnamese market participants believe that the USA is targeting real economic activities other than other variables. It is also shown that even though the US stock market (proxied by S&P500 index) significantly affects the Vietnamese stock market returns, the spillover effect of the US macroeconomic news is still significant.

The author does not explore further on the transmission channels of the spillover effects of the US news on the Vietnamese stock market, reserving this task for future research.

The paper contributes to the extant literature in several ways. First, to the author's knowledge, the current literature lacks empirical evidence for the impact of the US macroeconomic news on the first two moments of the Vietnamese stock markets. Given the growing integration between the two economies, evidenced by the fact that the USA is Vietnam's largest foreign direct investor and importer, the US macroeconomic news is very important, not only for Vietnamese policy makers but also for market participants. Furthermore, the choice of a small and open market with increasing exposure to the world economy and vulnerable to the US news (i.e. Vietnam) would help in reducing the problem of endogeneity bias in previous studies employing large economy pairs, as the US news might affect the Vietnamese stock market but not the reverse. Finally, previous studies tend to investigate the impact of macro news only on conditional returns. In this study, both conditional returns and the conditional variance of returns are modelled simultaneously in a time‐varying framework (MA‐GARCH) to better capture the impact of macroeconomic news on stock returns and stock market volatility.

This paper aims to investigate the spillover effect of 14 US key macroeconomic news on the first two moments of 12 Asian stock market returns.

The authors collect market expectation and actual scheduled announcements data for 14 key US's macroeconomic announcements from January 2002 to April 2012 from Bloomberg. The dataset consists of six groups: monetary policy and general macroeconomic indicators: the Federal Reserve's target interest rates (FOMC), gross domestic product (GDP), and leading indicator (LI); price indicators: consumer price index (CPI) and producer price index (PPI); business indicator: housing starts (HS) and industrial production (IP); consumption indicators: retail sales (RS) and consumer confidence level (CONSUM); labor market indicators: non-farm payroll (NFP), unemployment level (UE), and jobless claim (JOB); and external sector indicators: current account (CA) and trade balance (TB). The authors also collect daily opening and closing data of 12 Asian stock markets. Following Dow Jones classification, the authors divide them into two groups: five developed markets (Japan, Hong Kong, Republic of Korea, Singapore and Taiwan), and seven emerging markets (China, India, Indonesia, Malaysia, Pakistan, Sri Lanka, and Thailand). The MA-EGARCH (1,1) model is used for the empirical test.

First, the authors find that stronger than expected news from the USA is associated with higher conditional mean and lower conditional variance of the Asian stock market returns, in general. Second, the Asian stock markets tend to put more weight on information relating to the US labor market than the other news as this indicator reveals much information about the underlying health of the US economy since full employment is the most important mandate for the US administration and policy makers. Third, in responding to the US news, the Asian emerging markets seem to respond stronger to the US news than the Asian developed markets both in terms of the number of responses and the magnitude of the reaction. This suggests that this could be seen as evidence that emerging markets are more dependent on the information content of the US news than the developed markets. Fourth, the US news is absorbed gradually leading to persisting volatility responses in the Asian stock markets.

The authors fill a gap in the extant literature in investigating the speeds of the news absorption across the Asia region by examining the spillover effects across three time horizons, namely daily, overnight and intraday.

This chapter examines the impacts of scheduled announcements of 14 widely followed macroeconomic news on the corporate bond market from July 2002 to June 2017 and documents several new findings. First, good (bad) macroeconomic news tends to have a negative (positive) effect on IG bond returns and a positive (negative) effect on high-yield (HY) bond returns. Second, nonfarm payroll (NFP) appears to be the “King of announcements” for the corporate bond market. Third, while information about revisions of prior releases is incorporated into bond prices on announcement days, future revisions fail to be priced in. Fourth, the news information is thoroughly and quickly reflected in bond prices on the announcement day. Finally, corporate bond volatility increases on announcement days, whereas the Zero Lower Bound (ZLB) policy has little effect on conditional volatility.

Extant literature suggests that the difficulty associated with the interpretation of macroeconomic news announcements by the market in general in different economic environments, might be the reason why most studies do not find any significant relationship between real-sector macroeconomic variables and financial asset returns. This paper aims to use a different approach to measure macroeconomic news. The objective is to examine if a different measure of a macroeconomic news variable, constructed from media coverage of the same, significantly affects hedge fund returns.

The authors use a news index for unemployment, which is a real-sector variable, constructed from newspaper coverage of unemployment announcements and examine its impact on hedge fund returns.

Contrary to the other studies that examine the impact of macroeconomic news on hedge fund returns, the authors find that media coverage of unemployment news announcements significantly affects hedge fund returns.

Overall, this paper demonstrates that the manner in which the market interprets macroeconomic news announcements in different economic environments is probably a more relevant factor for hedge funds and is more likely to impact hedge fund returns. In conjunction with variables – constructed from media coverage of unemployment news announcements – that factor in the manner of interpretation, it is found that surprises also matter for hedge fund returns. This is an important consideration for hedge fund managers as well.

To the best of the authors’ knowledge, this is the first study that examines the impact of media coverage of macroeconomic news announcements on hedge fund returns and finds significantly different results with real-sector macro variables.

The purpose of this study is to investigate how changes in the firm's information disclosure practices impact the way investors process macroeconomic news. Specifically, the authors examine the role of derivative instruments and hedging activities disclosure, as required by SFAS 133, in shaping invertors response to good and bad interest rate news. In addition, the authors examine whether the effect of SFAS 133 on investors' response to good and bad interest rate news varies between firms with higher and lower earnings volatility.

This study uses data on all US public firms over the period from 1990 to 2019. The authors mainly apply multivariate regression and a difference-in-difference approach to test their hypotheses.

The results show a significant decrease in the asymmetry of responses to good and bad interest rate news for users of interest rate derivatives following the adoption of SFAS 133. However, in contrast to this finding, the authors also find that the adoption of SFAS 133 has no impact on the asymmetry of responses to good and bad interest rate news for nonusers of interest rate derivatives. Consistent with the ambiguity theory, the finding suggests that SFAS 133 indeed decreases investors’ uncertainty (ambiguity) about the cash flow implications of changes in the interest rate. The authors also find that the decrease in the asymmetry of response to good and bad interest rate news after the adoption of SFAS 133 is greater for users of interest rate derivatives with higher than lower earnings volatility. This implies that derivatives and hedging activities disclosure, as required by SFAS 133, are more important for firms with higher than lower earnings volatility. The finding is consistent with the idea that investors demand more accounting information when underlying earnings volatility is higher. In a set of additional analyses, the authors find that the effect of SFAS 133 on investors' response to good and bad interest rate news varies depending on the level of analyst coverage and interest rate exposure. Specifically, the authors find that the decrease in the asymmetry of response to good and bad interest rate news after the adoption of SFAS 133 is greater for users of interest rate derivatives with higher interest rate exposure and lower analyst coverage.

The findings of this study help market participants including regulators and standard setters to understand the impact of mandatory disclosure practices on investors' reaction to macroeconomic news. Moreover, the findings of the study help managers to understand the influence firm-specific characteristics (e.g. earnings volatility, analyst coverage and interest rates exposure) on the effectiveness of mandatory derivative instruments and hedging activities disclosure.

To the best of the authors' knowledge, this is the first paper to explore how firm-specific information environment affects the way investors process macroeconomic news. This study contributes to the literature by providing the empirical evidence that derivatives instruments and hedging activities, as required by SFAS 133, affect investors' response to good and bad interest rate news. In doing so, the results provide insights about how firm-specific information environment affects the way investors process macroeconomic news. This study shows that the cross-sectional variation in earnings volatility, analysts’ coverage and interest rate exposure affects the impact of SFAS 133 on investors' response to good and bad interest rate news. The findings are not only the notable addition to the existing literature on the topic but also can aid to market participants including policy makers, regulators, standard setters and managers to understand the influence of firm-specific characteristics on the effectiveness of mandatory derivative instruments and hedging activities disclosure. Finally, the findings contribute to the general debate about the effectiveness of SFAS 133 by showing that the adoption of SFAS 133 indeed decreases information ambiguity.

This paper examines the clustering of return volatility within industries by comparing the short‐run responses of stock returns to the arrival of macroeconomic news across several industries. We hypothesize that some industries have distinctive qualities which influence the sensitivity of companies’ equity value to information releases. To test this hypothesis, we sample intraday stock price data of ten firms from three industries ‐ General Industry, Banking, and Real Estate Trusts ‐ and conduct the Brown‐Forsythe‐Modified Levene tests. The evidence shows that there exist different degrees of responses to the release of macroeconomic news and consequently different degrees of return volatility clustering: strongest in General Industry, less strong in Banking, and weak in Real Estate Investment Trusts.

This study aims to better understand the effects of speeches as a valuable communication tool for central banks. It extends the analysis of the effects of public speeches on jumps to determine whether individual speakers matter partly because of their name, position or institution.

This study detects intraday jumps using a robust-to-jump volatility estimator that accounts for deterministic seasonality. As a result, this study removes spurious jumps that occur when volatility is high and consider the relatively small jumps that occur when volatility is low. After identifying jumps, this study examines their reactions to senior official speeches and macroeconomic news surrounding the US and European Union (EU) financial crises.

Despite having the most influential individual speakers, this study finds that the impact of the Federal Reserve (Fed) and European Central Bank (ECB) is mitigated because the two institutions have a relatively small impact on currency jumps. This finding shows that the speaker’s name is more important than his or her institution affiliation. While the Federal Reserve Bank President and Chief Executive, as well as ECB board members, significantly reduce jump sizes, particularly during the EU crisis period, both the Fed Chairman and the ECB President increase the magnitude of the jump in both the US crisis and noncrisis periods, contributing to market instability.

The implications of the results include international portfolio management, currency derivatives pricing and hedging, risk management and market efficiency.

The findings contribute to a better understanding of the effects of senior official speech attributes on currency jumps in various economic states. The results raise questions about the speaker’s name, institution and position’s effectiveness in calming markets and reducing uncertainty.

The purpose of this paper is to determine if macroeconomic announcements affect the Fama‐French market, size, book‐to‐market risk factors and momentum factor.

Using unexpected announcements of major macroeconomic indicators, a study is made of how daily innovations of risk factors react to macroeconomic shocks. In a Flannery and Protopapadakis framework, the impact of macroeconomics surprises on the levels and volatilities of the risk factors is measured. A VAR model is employed as a robustness check. To better understand the mechanism of announcement impacts on risk factors, the relationship between the macroeconomics announcements and Fama‐French size/book‐to‐market portfolio returns is investigated.

Inflation, employment, consumption and business activities were found to affect levels and volatilities of risk factors. However, these macro variables affect risk factors differently. Inflation and non‐farm payrolls decrease the market risk premium while increasing the size premium. Personal income increases the size premium while reducing the book‐to‐market premium. Industrial production and GDP only influence the level of the momentum factor. In this model specification, producer inflation (PPI) and personal income increase the volatility of the size premium while business inventories increase the volatility of the market premium.

This paper's results support the notion that different risk factors capture different economic fundamentals.

This research examines the use of econometric models to predict the total net asset value (NAV) of an asset allocation mutual fund. In particular, the mutual fund case used is the Vanguard Wellington Fund (VWELX). This fund maintains a balance between relatively conservative stocks and bonds. The period of the study on which the prediction of the total NAV is based is the 24-month period of 2010 and 2011 and the forecasting period is the first three months of 2012. Forecasting the total NAV of a massive conservative allocation fund, composed of an extremely large number of investments, requires a method that produces accurate results. Achieving this accuracy has no necessary relationship to the complexity of the methods typically employed in many financial forecasting studies.

The essence of the modern asset‐market approach to the analysis of exchange rate behavior includes the role of the trade balance account. We examine the relationship between exchange rate changes and US trade balance announcements. Statistically significant exchange rate adjustments to these announcements are documented using for the first time the comparison period approach to testing the significance of trade balance announcements on exchange rates. The evidence is consistent with the predictions of the modern asset‐market exchange rate model. There is also evidence that the foreign exchange market is more sensitive to increasing rather than decreasing trade balance deficit announcements. To date, a number of theoretical papers have investigated the possible sources of the exchange rate determination process (see, Dornbusch [1976,1980], Dornbusch and Fisher [1980], Frenkel [1976, 1981], Kouri [1976], and Mussa [1982], among others). There is no consensus on how exchange rates are determined and why they have exhibited increased volatility lately. The interpretations vary widely among the various theories, ranging from the flow‐market approach to the modern asset‐market view. The asset‐market approach of exchange rates is based on the principle that the current value of the exchange rate (i.e. the relative price of two national currencies) is influenced not only by current economic conditions but also by expectations of its future value and, therefore, by the information that underlies these expectations. The asset‐market literature on the determination of exchange rates establishes a direct relationship between changes in the exchange rate and the current account (or trade balance account). For example, Mussa [1982] shows that the equilibrium exchange rate depends on expectations about the exogenous factors that affect the current account in present and future periods. A central implication of the asset‐market view is that “innovations” in the current account induce unexpected changes in the exchange rate. This is because an innovation in the current account, defined as a deviation of the current account balance from its previously expected level, conveys information about changes in economic conditions relevant for determining the equilibrium exchange rate (see Mussa [1982]). For example, if a country experiences an unexpectedly strong trade balance performance, this might be perceived to imply changes in relative economic efficiency, product demand, or international competitiveness that will improve the current account in future periods leading to an appreciation of the foreign value of the domestic currency. In essence, the asset‐market view argues that information about changes in real economic conditions requiring exchange rate adjustments can be inferred from innovations in the trade balance and/or the current account. Dornbusch and Fischer [1980] also argue that while asset markets determine exchange rates, it is the current account through its effect on net asset positions, and subsequently on asset markets, which influences the path of the foreign exchange rate. Thus, it can be argued that unanticipated current account announcements should be associated with exchange rate movements immediately following such announcements. While the relationship between the current account and the exchange rate has been extensively analyzed, the empirical evidence pertaining to the association between exchange rates and the current account has produced mixed results. Hardouvelis [1988] examines the effects of macroeconomic news, including US trade balance announcements, on three interest rates and seven exchange rates over the October 1979 to August 1984 period. He reports that announcements of the trade deficit have no statistically significant effects on interest rates, with the exception of the three‐month T‐bill rates and the exchange rates. The evidence with respect to the short‐term interest rate reactions may be associated with the fact that the “Federal Reserve Bank throughout the 1977–1984 period was unable to establish full credibility among market participants about its fight against inflation” (see Hardouvelis [1988]). Deravi et al [1988] have also investigated the financial market's response to US balance of trade announcements. They find similar results to those reported in Hardouvelis [1988] for the February 1980 to February 1985 period, but they report a significant exchange rate response to trade deficit announcements over the March 1985 to July 1987 period. Irwin [1989], however, uncovered a significant breakdown in the relationship between trade balance announcements and dollar exchange rates during the month of June 1984; that is, larger trade deficits were found to be associated with the dollar's depreciations only in the post‐June 1984 period. Contrary to previous studies, Hogan et al [1991] find larger US trade balance deficits to have a significant effect on exchange rates throughout the 1980s. Because expected trade balance figures are available from the Money Market Service Inc. and since the trade balance figures according to Crystal and Wood [1980] represent 85 percent of the US current account, it apears that the trade balance serves as a good proxy for the current account. Therefore, we are able to test more directly the impact of the US trade balance announcements on the exchange rate. The purpose of this paper is to analyze the relationship between exchange rate changes and merchandise balance announcements using a sample of US trade figures spanning the period from August 1986 to April 1989. In the following, we refer to this relationship as the “current account hypothesis”. Unlike previous research, the analysis is based on unanticipated trade balance announcements in order to study the interaction between exchange rates and information contained in the trade balance announced figures as the asset‐market approach to exchange rate determination process predicts. Dornbusch [1980] used the official forecast errors of the Organization for Economic Co‐operation and Development (i.e. biannual six‐month forecasts for current account and exchange rates). In this study, we focus on the major component of the current account‐the trade balance‐to test the current account hypothesis. The trade balance account is by far the best proxy for the current account. Another differentiating aspect of this study from the previous research is that it relies on systematic trade balance announcements. The use of the Commerce Departments' announcements concerning the US merchandise trade balance has also been motivated by the growing financial and non‐financial press coverage of the monthly trade balance reports. Examples of how the financial press covers the monthly trade balance announcements include: 1. “A wider trade deficit jolts a fragile market, shares off 101 points, dollar falls, and interest rates surge as big gap surprises investors, central bankers”, The Wall Street Journal, April 5,1988. 2. “London stocks rise sharply on US trade news; shares close firmer in Tokyo for the second day”, The Wall Street Journal, May 18,1989. 3. “Tricks of the Trade. The huge current‐account imbalances of the 1980s are disappearing fast. Good news? Maybe. But be warned: trade flows are less and less useful as indicators of economic performance” The Economist, March 30, 1991. 4. “Trade deficit grew in April to $6.97 billion… as exports continued to drop and imports jumped. The April deficit was the biggest monthly imbalance since a $9.49 billion deficit in November 1990. The trade gap in March was $5.58 billion. Economists say sluggish economic activity abroad is making it more difficult for US companies to sell their goods.” The Wall Street Journal, June 19, 1992. The different views registered in the financial press about the importance of the current account and trade balance imbalances in influencing exchange rate changes have further motivated the present study. Contrary to the current account hypothesis, it has been argued that because of the increasing integration of world capital markets, it is easier to finance current account deficits and therefore the trade balance or current account figures might be less useful as far as the determination of exchange rates is concerned. In addition, as a result of the increasing foreign investment activity, trade deficits may no longer represent purely national concepts. For example, a significant portion of a country's exports and imports may be accounted for by foreign firms with corporate operations there. Furthermore, US firms may decide to supply an overseas market either by exporting or by locating production abroad. Locally produced sales by US firms overseas, however, do not count as exports, nor do their local purchases of inputs count as imports. But from the firm's point of view, the local sales of a US subsidiary are viewed as being similar to exports. Therefore, it is argued that US trade balance deficits measured on the basis of residency rather than nationality of ownership, which is currently the norm, may mean less than it once did. Consequently, what emerges from the above is that the correlation between exchange rates and the information contained in the trade balance figures may be weaker than predicted by the asset‐market approach. Whether the current account or trade balance figures do matter as far as the determination of exchange rates is concerned is an empirical question. This article presents a first attempt at analyzing the impact of “innovations” in the US trade balance account on the exchange rate. An event study analysis is performed for the first time using trade balance announcement data from August 1986 to April 1989. The event methodology provides an appropriate direct test for the asset‐market model which predicts that unexpected changes in the exchange rate should be related to innovations in the current account (trade balance). The article is arranged as follows. Section II describes the data and methodology used. Section III presents empirical evidence on the relationship between exchange rates and innovations in the trade balance account. The article concludes with Section IV.