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Foreign news and spillovers in emerging European stock markets
- 1.0364946 - NHU-C 2012 RIV GB eng J - Journal Article
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
R&D Projects: GA ČR(CZ) GAP403/11/0020; GA MŠMT LC542
Institutional research plan: CEZ:MSM0021620846
Keywords : emerging European stock markets * foreign news * intraday data
Subject RIV: AH - Economics
Impact factor: 0.631, year: 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.
Permanent Link: http://hdl.handle.net/11104/0200304
Number of the records: 1