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Showing posts from December, 2013

Event Study of major G7 stock indices with the release of US unemploment reports.

Performed Event Study of major G7 stock indices with the release of US unemployment reports. Period of analysis : Jan 2000 - October 2013 ( except for ITLMS whose data was available from 2003 onwards)

I looked at two separate cases in this event study :

a) When the actual value of the unemployment rate was greater than the survey mean value.


b) When the actual value of unemployment rate was lesser than or equal to the survey mean value



Observations:

When the unemployment rate was lesser or equal to the survey mean (plot b), we start seeing a positive slope for almost all the G7 indices around Day --6 or -5.
(Nikkei has a day lag from other indices due to the market timings.) The other European markets have some overlap with US markets and there is possibility of some double causality (minimal) that has not been analysed as a part of this study. There were about

When the unemployment rate was greater than survey mean (bad news), we start seeing a decline in all indices around Day 2 o…