Počet záznamů: 1

Foreign news and spillovers in emerging European stock markets

  1. 1.
    0364946 - NHU-C 2012 RIV GB eng J - Článek v odborném periodiku
    Hanousek, Jan - Kočenda, E.
    Foreign news and spillovers in emerging European stock markets.
    Review of International Economics. Roč. 19, č. 1 (2011), s. 170-188 ISSN 0965-7576
    Grant CEP: GA ČR(CZ) GAP403/11/0020; GA MŠk LC542
    Výzkumný záměr: CEZ:MSM0021620846
    Klíčová slova: emerging European stock markets * foreign news * intraday data
    Kód oboru RIV: AH - Ekonomie
    Impakt faktor: 0.631, rok: 2011

    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.
    Trvalý link: http://hdl.handle.net/11104/0200304