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Foreign news and spillovers in emerging European stock markets
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SYSNO ASEP 0364946 Document Type J - Journal Article R&D Document Type Journal Article Subsidiary J Článek ve WOS Title Foreign news and spillovers in emerging European stock markets Author(s) Hanousek, Jan (NHU-C) RID
Kočenda, E. (CZ)Source Title Review of International Economics - ISSN 0965-7576
Roč. 19, č. 1 (2011), s. 170-188Number of pages 19 s. Language eng - English Country GB - United Kingdom Keywords emerging European stock markets ; foreign news ; intraday data Subject RIV AH - Economics R&D Projects GAP403/11/0020 GA ČR - Czech Science Foundation (CSF) LC542 GA MŠMT - Ministry of Education, Youth and Sports (MEYS) CEZ MSM0021620846 - NHU-C UT WOS 000287508900013 DOI 10.1111/j.1467-9396.2010.00939.x Annotation 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. Workplace Economics Institute - CERGE Contact Tomáš Pavela, pavela@cerge-ei.cz, Tel.: 224 005 122 Year of Publishing 2012
Number of the records: 1