The effect of the european economic news releases to the US financial markets in the crisis period

  • Published December 15, 2016
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    Volume 13 2016, Issue #4 , pp. 33-57
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    1 articles

This paper evaluates the effect of all European economic news releases on the US financial markets for the main crisis period from June 2007 up to October 2011. Evaluation concerns Sharpe ratios, as well as magnitude and frequency of volatility jumps for the periods before and after a news release. Sharpe ratios are examined with the risk of the excess returns being estimated by the flat-top Bartlett kernel estimator of Barndorff-Nielsen et al. (2008) with an optimal (in a finite sample) choice for the number of autocovariances, as suggested by Bandi and Russell (2011). Volatility jumps are detected according to the jump detection scheme of Ait-Sahalia and Jacod (2009).

Keywords: European economic news releases,crisis; macroeconomic variables, Sharpe ratio,jumps.
JEL Classification: G01, G15

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