Politická ekonomie 2010, 58(4):435-457 | DOI: 10.18267/j.polek.740

Vliv vnitrodenních makroekonomických zpráv na akciové trhy nových států EU

Jan Hanousek, Evžen Kočenda
1 CERGE-EI, Charles University and the Academy of Sciences, Prague, Czech Republic; Anglo-americká vysoká škola, Praha; The William Davidson Institute, Michigan; a CEPR, London.
2 CERGE-EI, Charles University and the Academy of Sciences, Prague, Czech Republic; Anglo-americká vysoká škola, Praha; CESifo, Mnichov; The William Davidson Institute, Michigan; CEPR, London; a Euro Area Business Cycle Network.

Effect of Intraday Information Flow on the Emerging European Stock Markets

We analyze effect of intraday information flow in three emerging EU stock markets-the Czech Republic, Hungary, and Poland. We use five-minute intraday data on stock market index returns and 15 types of EU and U.S. macroeconomic announcements during 2004-2007. We measure each announcement as its difference from market expectation. Mean and variance equations are jointly estimated. We bring evidence of strong spillovers from matured stock markets as well as effects of the macroeconomic news originating thereby. We find varying effects of the real economy news. Information on current account and prices has strong effect across all markets. We find limited evidence of the economic climate news and no evidence of the monetary announcements. Volatility of the returns is accounted for at the beginning and end of the trading session and it declines dramatically during the rest of the day. The three emerging markets react to information flow in a similar manner as matured markets.

Keywords: volatility, European Union, stock markets, intra-day data, macroeconomic news, excess impact of news
JEL classification: C52, F36, G15, P59

Published: August 1, 2010  Show citation

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Hanousek, J., & Kočenda, E. (2010). Effect of Intraday Information Flow on the Emerging European Stock Markets. Politická ekonomie, 58(4), 435-457. doi: 10.18267/j.polek.740
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