Effects of scheduled versus unexpected news in intraday price movements: the evidence from new European stock markets

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11640%2F09%3A00337840" target="_blank" >RIV/00216208:11640/09:00337840 - 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
Effects of scheduled versus unexpected news in intraday price movements: the evidence from new European stock markets
Original language description
The goal of this paper is to study real time behavior on three emerging EU stock markets - in the Czech Republic, Hungary, and Poland - taking into account interactions with developed markets and the influence of macroeconomic news originating in the EUand in the U.S. We characterize the price discovery in these three emerging EU stock markets 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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Project
<a href="/en/project/GA402%2F08%2F1376" target="_blank" >GA402/08/1376: Information, Spillovers, and Impact on Capital Markets: Theory and Empirics of the Intra-day Data Approach</a><br>
Continuities
Z - Vyzkumny zamer (s odkazem do CEZ)

Publication year
2009
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
Proceedings of 27th International Conference Mathematical Methods in Economics 2009
ISBN
978-80-213-1963-9
ISSN
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e-ISSN
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Number of pages
6
Pages from-to
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Publisher name
Czech University of Life Sciences Prague
Place of publication
Prague
Event location
Kostelec nad Černými lesy
Event date
Sep 9, 2009
Type of event by nationality
CST - Celostátní akce
UT code for WoS article
000275146900019

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