Foreign news and spillovers in emerging European stock markets

0371434 - NHÚ 2012 RIV GB eng J - Článek v odborném periodiku
Hanousek, J. - Kočenda, Evžen
Foreign news and spillovers in emerging European stock markets.
Review of International Economics. Roč. 19, č. 1 (2011), s. 170-188. ISSN 0965-7576. E-ISSN 1467-9396
Výzkumný záměr: CEZ:AV0Z70850503
Klíčová slova: emerging European stock markets * foreign news * intraday data
Kód oboru RIV: AH - Ekonomie
Impakt faktor: 0.631, rok: 2011

We analyze foreign news and spillovers in the emerging EU stock markets (the Czech Republic, Hungary, and Poland). We employ high-frequency five-minute intraday data on stock market index returns and four classes of EU and US macroeconomic announcements during 2004–07. We account for the difference of each announcement from its market expectation and we jointly model the volatility of the returns accounting for intraday movements and day-of-the-week effects.
Trvalý link: http://hdl.handle.net/11104/0204948