Belgacem, Aymen; Lahiani, Amine - In: Economics Bulletin 32 (2012) 2, pp. 1509-1526
This paper investigates the impact of US scheduled macroeconomic announcements on the domestic, the French and the … 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 …