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Handbook of Asian Finance by Greg N. Gregoriou, David LEE Kuo Chuen

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Chapter 11

Asian Market Reactions to US Macroeconomic News Surprises

Natàlia Vallsa and Helena Chuliáb,    aCAIXABANK, Risk Analysis and Capital Optimization, Avenida Diagonal, 621–629, Tower I, 8th floor, Barcelona 8028, Spain,    bUniversity of Barcelona, Department of Econometrics and Riskcenter-IREA, School of Economics and Business, Avenida Diagonal, 690, Barcelona 8034, Spain    E-mail: natalia.valls@gmail.comhchulia@ub.edu

Abstract

This chapter analyzes the effect of US macroeconomic news releases on the returns and volatility of a wide set of Asian countries and their correlations with the US market. Our findings reveal that, in general, there is a relation between the response of market returns and volatility and a country’s level of ...

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