TY - JOUR
T1 - Intraday Seasonalities and Macroeconomic News Announcements
AU - Harju, Kari
AU - Hussain, Syed Mujahid
PY - 2011/3
Y1 - 2011/3
N2 - 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.
AB - 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.
KW - Conditional mean
KW - Conditional volatility
KW - Flexible Fourier form
KW - Information spillover
KW - Intraday seasonality
KW - Macroeconomic surprises
UR - http://www.scopus.com/inward/record.url?scp=79952025788&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=79952025788&partnerID=8YFLogxK
U2 - 10.1111/j.1468-036X.2009.00512.x
DO - 10.1111/j.1468-036X.2009.00512.x
M3 - Article
AN - SCOPUS:79952025788
SN - 1354-7798
VL - 17
SP - 367
EP - 390
JO - European Financial Management
JF - European Financial Management
IS - 2
ER -