- Tytuł:
- Macroeconomic News Effects on the Stock Markets in Intraday Data
- Autorzy:
- Będowska-Sójka, Barbara
- Powiązania:
- https://bibliotekanauki.pl/articles/483253.pdf
- Data publikacji:
- 2013
- Wydawca:
- Polska Akademia Nauk. Czytelnia Czasopism PAN
- Tematy:
-
intraday returns
macro surprises
news effect
periodicity
volatility - Opis:
- The aim of the paper is to compare reactions of two stock markets, the German and the French, to releases of macroeconomic fundamentals emanating from Germany and the U.S. We examine the reaction of intraday returns and volatility of the CAC40 and the DAX indices to macroeconomic surprises. We find that both American and German macroeconomic releases cause an immediate response in returns and volatility of the German and the French stock market sampled at a five-minute frequency. The reaction to the American macroeconomic surprises is stronger than to the German ones.
- Źródło:
-
Central European Journal of Economic Modelling and Econometrics; 2013, 5, 4; 249-269
2080-0886
2080-119X - Pojawia się w:
- Central European Journal of Economic Modelling and Econometrics
- Dostawca treści:
- Biblioteka Nauki
Artykuł