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Intraday price discovery in emerging European stock markets

  1. 1. 0326264 - NHU-C 2010 RIV CZ eng J - Journal Article
    Hanousek, Jan - Kočenda, Evžen
    Intraday price discovery in emerging European stock markets.
    CERGE-EI Working Paper Series. -, č. 382 (2009), s. 1-35 ISSN 1211-3298
    R&D Projects: GA ČR(CZ) GA402/08/1376; GA MŠk LC542
    Institutional research plan: CEZ:MSM0021620846
    Keywords : price discovery * stock markets * intra-day data * European Union * macroeconomic news
    Subject RIV: AH - Economics
    http://www.cerge-ei.cz/pdf/wp/Wp382.pdf

    We characterize the price discovery in three emerging EU stock markets — the Czech Republic, Hungary, and Poland — 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/11104/0173417
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