Effects of scheduled versus unexpected news in intraday price movements: the evidence from new European stock markets

0337840 - NHU-C 2010 RIV CZ eng C - Conference Paper (international conference)
Hanousek, Jan - Kočenda, Evžen
Effects of scheduled versus unexpected news in intraday price movements: the evidence from new European stock markets.
Proceedings of 27th International Conference Mathematical Methods in Economics 2009. Prague: Czech University of Life Sciences Prague, 2009 - (Brožová, H.), s. 103-108. ISBN 978-80-213-1963-9.
[27th International Conference Mathematical Methods in Economics 2009. Kostelec nad Černými lesy (CZ), 09.09.2009-11.09.2009]
R&D Projects: GA ČR(CZ) GA402/08/1376
Institutional research plan: CEZ:MSM0021620846
Keywords : stock markets * intraday price movements * price discovery * macroeconomic news
Subject RIV: AH - Economics

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.
Permanent Link: http://hdl.handle.net/11104/0181745