A well-known concept in modern capital market theory is that only
systematic risk factors affect security prices. Macroeconomic
announcements are among the most important news for financial markets
because the state of the economy is a prime candidate for such a source
of non-diversifiable risk. This book investigates the effects of US
macroeconomic news on three financial markets that have received less
attention in the literature so far. The markets of interest are the
commodity futures market, the German stock index futures market, and the
German bond futures market. I investigate not only price effects, but
also liquidity effects as well as the channels of cross-border
information flow. I find that commodity markets as well as international
stock and bond markets are likewise affected by the release of US
macroeconomic news. The strength of the commodity price response depends
on the state of the economy and news about the US economy is more
important for German stock markets than domestic economic news. For an
investor in any of these markets, this book provides valuable
information on how to adjust his trading strategies around the release
of macroeconomic news. Moreover, my findings contribute to the
understanding of cross-border information flow. First, I find that both
domestic and foreign economic news induce significant price and
liquidity effects. Second, I find that there are two important channels
of information transmission for foreign news: the direct response to the
news and the indirect response to the foreign response to the news.
