ScienceDirect Publication: Finance Research Letters
Fri, 31 Jan 2020 18:00:57 GMT language
Publication date: Available online 30 January 2020
Source: Finance Research Letters
Author(s): Syed Mujahid Hussain, Walid Ben Omrane
We analyze the impact of US macroeconomic news announcements on the Canadian benchmark stock index return and volatility using high-frequency 5-min data. Our findings reveal that several US news releases exert a statistically significant influence on the Canadian stock market return and volatility. Moreover, we show that during the 2008 US recession, slightly more US news announcements exhibit significant impacts on the Canadian equity returns, with relatively pronounced effects. Overall, our results support previous findings by suggesting that US macroeconomic fundamentals form a linkage between Canadian and US financial markets.