Počet záznamů: 1
Effects of scheduled versus unexpected news in intraday price movements: the evidence from new European stock markets
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SYSNO ASEP 0337840 Druh ASEP C - Konferenční příspěvek (mezinárodní konf.) Zařazení RIV D - Článek ve sborníku Název Effects of scheduled versus unexpected news in intraday price movements: the evidence from new European stock markets Tvůrce(i) Hanousek, Jan (NHU-C) RID
Kočenda, Evžen (NHU-C) RIDZdroj.dok. Proceedings of 27th International Conference Mathematical Methods in Economics 2009. - Prague : Czech University of Life Sciences Prague, 2009 / Brožová Helena - ISBN 978-80-213-1963-9 Rozsah stran s. 103-108 Poč.str. 6 s. Akce 27th International Conference Mathematical Methods in Economics 2009 Datum konání 09.09.2009-11.09.2009 Místo konání Kostelec nad Černými lesy Země CZ - Česká republika Typ akce CST Jazyk dok. eng - angličtina Země vyd. CZ - Česká republika Klíč. slova stock markets ; intraday price movements ; price discovery ; macroeconomic news Vědní obor RIV AH - Ekonomie CEP GA402/08/1376 GA ČR - Grantová agentura ČR CEZ MSM0021620846 - NHU-C UT WOS 000275146900019 Anotace The goal of this paper is to study real time behavior on three emerging EU stock markets - in the Czech Republic, Hungary, and Poland - taking into account interactions with developed markets and the influence of macroeconomic news originating in the EU and in the U.S. We characterize the price discovery in these three emerging EU stock markets by employing high-frequency five-minute intraday data on stock market index returns and four classes of EU and U.S. macroeconomic announcements during 2004-2007. We account for the difference of each announcement from its market expectation and we jointly model the volatility of the returns accounting for intra-day movements and day-of-the-week effects. Pracoviště Národohospodářský ústav - CERGE Kontakt Tomáš Pavela, pavela@cerge-ei.cz, Tel.: 224 005 122 Rok sběru 2010
Počet záznamů: 1