This study analyzes the impacts of U.S. macroeconomic announcement surprises on the volatility of twelve emerging stock markets by employing asymmetric GJR-GARCH model. The model includes both positive and negative surprises about inflation and unemployment rate announcements in the U.S. We find that volatility shocks are persistent and asymmetric. Asymmetric volatility increases with bad news on U.S. inflation in five out of the twelve countries studied and it increases with a bad news on U.S. unemployment in four out of twelve countries. Asymmetric volatility decreases with good news about US employment situation in eight countries out of twelve countries. Such markets become less risky with an unexpected decrease in unemployment rate in the U.S. Our findings are important for demonstrating that the U.S. economic growth and employment situation has an impact on many emerging stock markets and that positive U.S. macroeconomic news, in fact, makes many emerging stock markets less volatile. Jel classification: G1
Cakan, Esin and Upadhyaya, Kamal, "Does U.S. Macroeconomic News Make Emerging Financial Markets Riskier?" (2014). Economics Faculty Publications. 3.
Cakan, E., Doytch, N. and Upadhyaya, K. 2015. Does US macroeconomic news make emerging financial markets riskier? Borsa Istanbul Review, 15(1), 37-43.