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Analysing the dynamic influence of US macroeconomic news releases on Turkish stock markets

Cumhur Ekinci, Shaen Corbet

Finance research letters · 2019 · 30 citations · 30 references

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30

The Sensitivity of Long-Term Interest Rates to Economic News: Evidence and Implications for Macroeconomic Models

Refet S. Gürkaynak, Brian Sack, Eric T. Swanson · American Economic Review · 2005 · 1K citations

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How Much Do Investors Care About Macroeconomic Risk? Evidence from Scheduled Economic Announcements

Pavel G. Savor, Mungo Ivor Wilson · Journal of Financial and Quantitative Analysis · 2013 · 430 citations

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Do Energy Prices Respond to U.S. Macroeconomic News? A Test of the Hypothesis of Predetermined Energy Prices

Lutz Kilian, Clara Vega · The Review of Economics and Statistics · 2010 · 418 citations · Full text

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Macroeconomic news and bond market volatility1We thank Walter Toshi Baily, Bob Korajczyk, Jim Poterba, Mark Watson, seminar participants at the University of Chicago, Columbia University, Cornell University, and the University of Montreal, and especially Ludger Hentschel (the referee) for helpful comments. We also thank Mark Mitchell for supplying data, and Amy C. Ko and Sydney Ludvigson for research assistance. Lamont was supported by the FMC Faculty Research Fund at the Graduate School of Business, University of Chicago. A portion of this research was completed while Lumsdaine was a National Fellow at the Hoover Institution. We also thank the Financial Research Center at Princeton University for support. A previous version of this paper circulated as `Public Information and the Persistence of Bond Market Volatility'.1

Charles M. Jones, Owen Lamont, Robin L. Lumsdaine · Journal of Financial Economics · 1998 · 350 citations

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US presidential elections and implied volatility: The role of political uncertainty

John W. Goodell, Sami Vähämaa · Journal of Banking & Finance · 2012 · 251 citations

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