Do the US Macroeconomic News Announcements Explain Turn-of-the-Month and Intramonth Anomalies on European Stock Markets?

Abstract

Recent evidence from the US stock market suggests that the turn-of-the-month (hereafter TOM) and intramonth anomalies arise from the systematic monthly release of important US macroeconomic news that are clustered on the first half of the month. Based on the traditional studies on stock market integration and on the impact of US macroeconomic news announcements on European stock markets, we hypothesize that important US macroeconomic news releases are also behind the anomalies observed on European markets. Using data from the UK, German, and French stock markets, we first document the existence of significant TOM and intramonth effects. After controlling for the major US macroeconomics announcements these seeming anomalies disappear. Our results therefore show that the TOM and intramonth effects on European markets are caused by the clustered US macroeconomic news announcements.