Foreign news and spillovers in emerging European stock markets

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985998%3A_____%2F11%3A00371434" target="_blank" >RIV/67985998:_____/11:00371434 - isvavai.cz</a>

Alternative codes found

RIV/00216208:11640/11:00364946

Result on the web

<a href="http://dx.doi.org/10.1111/j.1467-9396.2010.00939.x" target="_blank" >http://dx.doi.org/10.1111/j.1467-9396.2010.00939.x</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.1111/j.1467-9396.2010.00939.x" target="_blank" >10.1111/j.1467-9396.2010.00939.x</a>

Result language

angličtina

Original language name

Foreign news and spillovers in emerging European stock markets

Original language description

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 announcementsduring 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.

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

Z - Vyzkumny zamer (s odkazem do CEZ)

Publication year

2011

Confidentiality

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

Name of the periodical

Review of International Economics

ISSN

0965-7576

e-ISSN

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Volume of the periodical

19

Issue of the periodical within the volume

1

Country of publishing house

GB - UNITED KINGDOM

Number of pages

19

Pages from-to

170-188

UT code for WoS article

000287508900013

EID of the result in the Scopus database

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