Stock returns on scheduled macroeconomic announcement days in Finland and United States

Abstract

I study the Finnish and U.S. stock markets between March 1999 and August 2020 on both Finnish and U.S. scheduled macroeconomic announcement days. I show that the Finnish stock market has not had significantly higher returns on any domestic macroeconomic announcements but has had significantly higher returns on days with U.S. monetary policy and unemployment announcement days. The U.S. stock market also has significantly higher returns on scheduled U.S. monetary policy and unemployment announcement days. I also show that the Finnish stock market has significantly lower returns on days with either Finnish or U.S. scheduled inflation announcements. I also find that the returns of the U.S. stock market are lower on days with inflation announcements during my sample, but significantly higher before my sample. My results suggest that Finnish investors care more about the macroeconomic announcements coming from the United States than from Finland and that the importance of different macroeconomic announcements have changed over time.