Efectos de los anuncios macroeconómicos en los mercados de bonosy acciones españoles

  1. María Fernández-Muñoz 1
  2. María-Isabel Martínez-Serna 1
  3. José Yagüe Guirao 1
  1. 1 Universidad de Murcia
    info

    Universidad de Murcia

    Murcia, España

    ROR https://ror.org/03p3aeb86

Book:
Contabilidad, auditoría y empresa en una economía global: en homenaje al prof. Dr. D. Pedro Luengo Mulet
  1. Marín Hernández, Salvador (coord.)

Publisher: Colegio de Economistas de la Región de Murcia, Servicio de Estudios

ISBN: 978-84-933070-3-5

Year of publication: 2017

Pages: 325-348

Type: Book chapter

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Abstract

This paper examines the impact of macroeconomic announcements on the Spanish bond and stock markets. We analyze the effects of 21 macroeconomic announcements related to the United States, the Euro Zone, and Spain on returns, trading activity, and volatility for five type of assets (high liquidity stocks, low liquidity stocks, and 3, 5, and 10-year Spanish Treasury bonds) at the announcement date. Our results show that US macroeconomic news have the most important impact on the considered measures. Moreover,our findings indicate that the most significant announcements are those related to employment level, industrial production and price indexes. Finally, our results show that stock market, and especially the most active and liquid stocks, is more responsive to macroeconomics news surprises than bond market.

Data source: Dialnet