Intraday Seasonalities and Macroeconomic News Announcements

Kari Harju*, Syed Mujahid Hussain

*المؤلف المقابل لهذا العمل

نتاج البحث: المساهمة في مجلةمراجعة النظراء

43 اقتباسات (Scopus)

ملخص

Using a data set consisting of more than five years of 5-minute intraday stock index returns for major European stock indices and US macroeconomic surprises, conditional means and volatility behaviour in European markets were investigated. The findings suggest that the opening of the US stock market significantly raises the level of volatility in Europe, all markets responding in an identical fashion. Furthermore, US macroeconomic surprises exert an immediate and major impact on both the European stock markets' intraday returns and volatilities. Thus, high frequency data appear to be critical for the identification of news impacting the markets.

اللغة الأصليةEnglish
الصفحات (من إلى)367-390
عدد الصفحات24
دوريةEuropean Financial Management
مستوى الصوت17
رقم الإصدار2
المعرِّفات الرقمية للأشياء
حالة النشرPublished - مارس 2011
منشور خارجيًانعم

ASJC Scopus subject areas

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