Which Fundamental News Moves the Markets? – Fundamental News and its Impact on Equity, Bond and Foreign Exchange Markets
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Which Fundamental News Moves the Markets? – Fundamental News and its Impact on Equity, Bond and Foreign Exchange Markets
Härtl, Robert | Mattern, Conrad
Credit and Capital Markets – Kredit und Kapital, Vol. 43 (2010), Iss. 2 : pp. 207–241
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Dr. Robert Härtl, PROTINUS Beratungsgesellschaft, Widenmayerstr. 31, D-80538 München.
Dr. Conrad Mattern, Vorstand, CONQUEST Investment Advisory AG, Olympiastraße 2c, D-85622 Feldkirchen.
Cited By
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Beating the random walk: a performance assessment of long-term interest rate forecasts
den Butter, Frank A. G.
Jansen, Pieter W.
Applied Financial Economics, Vol. 23 (2013), Iss. 9 P.749
https://doi.org/10.1080/09603107.2012.752570 [Citations: 5]
Abstract
Which Fundamental News Moves the Markets? – Fundamental News and its Impact on Equity, Bond and Foreign Exchange Markets
We study the impact of economic indicators on financial markets and their varying importance for the main financial segments, i. e. stocks, bonds and FX. Indicators from the USA, Germany, and Euro zone are included while market data for the German stock market (represented by the DAX-Index), the European benchmark bond market (represented by the Bund future) and EUR-USD is being used. Next to identifying the economic indicators with the power to move the market we also discuss why some indicators seem to be more relevant than others. Our key results are: a) the US Labor market indicator is by far the most important indicator; b) the importance of an indicator can generally be prejudged by its origin; c) differences in the importance of indicators can be explained by economic theory; d) behavioral aspects also seem to play a role in the importance of the indicators; and e) only some empirical observations seem to be beyond classical and behavioral theory. (JEL G15, G24, D03)