Time-varying market responses to macroeconomic news announcements

Pei, Shihao 2024. Time-varying market responses to macroeconomic news announcements. PhD Thesis, Cardiff University. Item availability restricted.

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Abstract

The time-varying market responses to macroeconomic news announcements have garnered significant attention from academia and the finance industry. This thesis aims to contribute by identifying and interpreting these time-varying market responses. In Chapter One, we focus on the methodology of detection and employ a non-parametric local linear method to estimate the time-varying market sensitivity to macroeconomic news announcements. We argue that this approach provides more accurate and reliable estimation of the patterns relative to the conventional linear and rolling window methods. In Chapter Two, we propose a new theory to explain and understand why investors exhibit varying responses to macroeconomic news announcements over time. We suggest their reactions to news are contingent upon their external and internal contexts. Since investors’ beliefs about the economy fluctuate over time,their reactions to these announcements also differ across different periods. Measuring investors’ external environments and their beliefs is challenging. In Chapter Three, we implement textual analysis on Federal Reserve Open Market Committee statements to investigate the role of FOMC narrative in serving as a source of information influencing agents’ beliefs.

Item Type:	Thesis (PhD)
Date Type:	Completion
Status:	Unpublished
Schools:	Schools > Business (Including Economics)
Last Modified:	16 May 2025 07:13
URI:	https://orca.cardiff.ac.uk/id/eprint/178301

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