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Effects of scheduled versus unexpected news in intraday price movements: the evidence from new European stock markets
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SYSNO ASEP 0337840 Document Type C - Proceedings Paper (int. conf.) R&D Document Type Conference Paper Title Effects of scheduled versus unexpected news in intraday price movements: the evidence from new European stock markets Author(s) Hanousek, Jan (NHU-C) RID
Kočenda, Evžen (NHU-C) RIDSource Title Proceedings of 27th International Conference Mathematical Methods in Economics 2009. - Prague : Czech University of Life Sciences Prague, 2009 / Brožová Helena - ISBN 978-80-213-1963-9 Pages s. 103-108 Number of pages 6 s. Action 27th International Conference Mathematical Methods in Economics 2009 Event date 09.09.2009-11.09.2009 VEvent location Kostelec nad Černými lesy Country CZ - Czech Republic Event type CST Language eng - English Country CZ - Czech Republic Keywords stock markets ; intraday price movements ; price discovery ; macroeconomic news Subject RIV AH - Economics R&D Projects GA402/08/1376 GA ČR - Czech Science Foundation (CSF) CEZ MSM0021620846 - NHU-C UT WOS 000275146900019 Annotation 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. Workplace Economics Institute - CERGE Contact Tomáš Pavela, pavela@cerge-ei.cz, Tel.: 224 005 122 Year of Publishing 2010
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