Počet záznamů: 1
Foreign news and spillovers in emerging European stock markets
- 1.0364946 - NHU-C 2012 RIV GB eng J - Článek v odborném periodiku
Hanousek, Jan - Kočenda, E.
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
Grant CEP: GA ČR(CZ) GAP403/11/0020; GA MŠMT LC542
Výzkumný záměr: CEZ:MSM0021620846
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/11104/0200304
Počet záznamů: 1