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Intraday price discovery in emerging European stock markets
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SYSNO ASEP 0326264 Document Type J - Journal Article R&D Document Type Journal Article Subsidiary J Ostatní články Title Intraday price discovery in emerging European stock markets Author(s) Hanousek, Jan (NHU-C) RID
Kočenda, Evžen (NHU-C) RIDSource Title CERGE-EI Working Paper Series - ISSN 1211-3298
-, č. 382 (2009), s. 1-35Number of pages 35 s. Publication form www - www Language eng - English Country CZ - Czech Republic Keywords price discovery ; stock markets ; intra-day data ; European Union ; macroeconomic news Subject RIV AH - Economics R&D Projects GA402/08/1376 GA ČR - Czech Science Foundation (CSF) LC542 GA MŠMT - Ministry of Education, Youth and Sports (MEYS) CEZ MSM0021620846 - NHU-C Annotation 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. Workplace Economics Institute - CERGE Contact Tomáš Pavela, pavela@cerge-ei.cz, Tel.: 224 005 122 Year of Publishing 2010
Number of the records: 1