Intraday Seasonalities and Macroeconomic News Announcements

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Abstract

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.

Original languageEnglish
Pages (from-to)367-390
Number of pages24
JournalEuropean Financial Management
Volume17
Issue number2
DOIs
Publication statusPublished - Mar 2011

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Keywords

  • Conditional mean
  • Conditional volatility
  • Flexible Fourier form
  • Information spillover
  • Intraday seasonality
  • Macroeconomic surprises

ASJC Scopus subject areas

  • Accounting
  • Economics, Econometrics and Finance(all)

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