Intraday price discovery in emerging European stock markets

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11640%2F09%3A00326264" target="_blank" >RIV/00216208:11640/09:00326264 - isvavai.cz</a>

Result on the web

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DOI - Digital Object Identifier

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Result language

angličtina

Original language name

Intraday price discovery in emerging European stock markets

Original language description

We characterize the price discovery in three emerging EU stock markets ? the Czech Republic, Hungary, and Poland ? 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.

Czech name

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Czech description

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Type

J_x - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)

CEP classification

AH - Economics

OECD FORD branch

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Project

Result was created during the realization of more than one project. More information in the Projects tab.

Continuities

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)<br>Z - Vyzkumny zamer (s odkazem do CEZ)

Publication year

2009

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Name of the periodical

CERGE-EI Working Paper Series

ISSN

1211-3298

e-ISSN

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Volume of the periodical

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Issue of the periodical within the volume

382

Country of publishing house

CZ - CZECH REPUBLIC

Number of pages

35

Pages from-to

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UT code for WoS article

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EID of the result in the Scopus database

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