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

Kód výsledku v 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>

Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

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

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

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

Popis výsledku anglicky

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.

Druh

D - Stať ve sborníku

CEP obor

AH - Ekonomie

OECD FORD obor

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Projekt

<a href="/cs/project/GA402%2F08%2F1376" target="_blank" >GA402/08/1376: Toky informací a jejich vliv na kapitálové trhy: Teorie a aplikace vysokofrekvenčních dat</a><br>

Návaznosti

Z - Vyzkumny zamer (s odkazem do CEZ)

Rok uplatnění

2009

Kód důvěrnosti údajů

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

Název statě ve sborníku

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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Počet stran výsledku

6

Strana od-do

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Název nakladatele

Czech University of Life Sciences Prague

Místo vydání

Prague

Místo konání akce

Kostelec nad Černými lesy

Datum konání akce

9. 9. 2009

Typ akce podle státní příslušnosti

CST - Celostátní akce

Kód UT WoS článku

000275146900019