The Effects of US Macroeconomic News Announcements on Emerging Stock Markets in the Asia-Pacific Region

摘要

This study examines whether the United States (US) macroeconomic news announcements affect volatilities of emerging stock markets in the Asia-Pacific region. For this purpose, the behavior of GARCH volatilities of nine major emerging markets (China, India, Indonesia, Malaysia, Pakistan, Philippines, Korea, Taiwan and Thailand) and four developed markets (Australia, Hong Kong, Singapore and Japan) are investigated around four important scheduled US macroeconomic news announcements (CPI, Employment Situation, ISM Manufacturing and PPI). The Asia-Pacific emerging markets are, indeed, shown to be affected by US macroeconomic news announcements. This implies that the outlook of the US economy is relevant from the stock valuation perspective.