1 / 13

Macroeconomic Effects on Stock Jumps

Macroeconomic Effects on Stock Jumps. Allison Keane. Summary. Standardize 13 macro announcements All released at 8:30 AM S kt = (A kt – E kt ) / σ k Overnight returns Opening price minus closing price from previous day Computed z-stats for returns Z = (R-Rm) / σ

alvin-grimes
Télécharger la présentation

Macroeconomic Effects on Stock Jumps

An Image/Link below is provided (as is) to download presentation Download Policy: Content on the Website is provided to you AS IS for your information and personal use and may not be sold / licensed / shared on other websites without getting consent from its author. Content is provided to you AS IS for your information and personal use only. Download presentation by click this link. While downloading, if for some reason you are not able to download a presentation, the publisher may have deleted the file from their server. During download, if you can't get a presentation, the file might be deleted by the publisher.

E N D

Presentation Transcript

  1. Macroeconomic Effects on Stock Jumps Allison Keane

  2. Summary • Standardize 13 macro announcements • All released at 8:30 AM • Skt = (Akt – Ekt ) / σk • Overnight returns • Opening price minus closing price from previous day • Computed z-stats for returns • Z = (R-Rm) / σ • Regress returns and announcements • Rt = βkSk,t + εt

  3. PPI CPI Durable Goods Orders Industrial Production Retail Sales – ex. Auto Average work week Unemployment Rate Hourly Earnings Nonfarm Payrolls Capacity Utilization Business Inventories Consumer Confidence PG – Procter and Gamble F - Ford GM – General Motors KFT – Kraft AIG – American International Group All overnight returns from 2002 - 2007 Announcements and Stocks

  4. PG overnight returns • Mean return = .0036 • Standard Dev. = .0037

  5. PG Z-stats • 21 jump days using 1% significance level

  6. KFT Overnight Returns • Mean = .0044 • Standard Dev. = .0037

  7. KFT Z-Stats • 20 overnight jumps

  8. Ford • Mean = .0092 • St.dev = .0103

  9. Ford • 26 overnight jumps

  10. AIG • Mean = .0055 • St dev = .0069

  11. AIG • 32 days

  12. Rt = βkSk,t + εt

More Related