Mardi | 2012-04-17
Aymen BELGACEM – Amine LAHIANI
This paper investigates the impact of US scheduled macroeconomic announcementson the domestic, the French and the German market, respectively using anaugmented version of the multivariate DCC-GARCH model. Our setting allows toseparate the direct effect (common response), from the indirect effect(volatility transmission) of the US macroeconomic announcements on the two European markets. Empirical results show evidence of a direct reaction of French and German investors to some common as well as specific US macroeconomic news. More interestingly, a significant bidirectional volatility spillover after the release of some macroeconomic news is found to be apparent, either between the US and German markets or between the US and French markets,although the French market shows a more sensitivity to US macroeconomic surprises than the German market. These findings suggest a stronger integration of the US stock market with the French market rather than with the German market.