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Intraday price discovery in emerging European stock markets

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    SYSNO ASEP0326264
    Document TypeJ - Journal Article
    R&D Document TypeJournal Article
    Subsidiary JOstatní články
    TitleIntraday price discovery in emerging European stock markets
    Author(s) Hanousek, Jan (NHU-C) RID
    Kočenda, Evžen (NHU-C) RID
    Source TitleCERGE-EI Working Paper Series - ISSN 1211-3298
    -, č. 382 (2009), s. 1-35
    Number of pages35 s.
    Publication formWWW - www
    Languageeng - English
    CountryCZ - Czech Republic
    Keywordsprice discovery ; stock markets ; intra-day data ; European Union ; macroeconomic news
    Subject RIVAH - Economics
    R&D ProjectsGA402/08/1376 GA ČR - Czech Science Foundation (CSF)
    LC542 GA MŠk - Ministry of Education, Youth and Sports (MEYS)
    CEZMSM0021620846 - NHU-C
    AnnotationWe 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.
    WorkplaceEconomics Institute - CERGE
    ContactTomáš Pavela, pavela@cerge-ei.cz, Tel.: 224 005 122
    Year of Publishing2010