Foreign News and Spillovers in Emerging European Stock Markets

Evžen Kočenda and Jan Hanousek

No wp983, William Davidson Institute Working Papers Series from William Davidson Institute at the University of Michigan

Abstract: 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 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 intraday movements and day-of-the-week effects. Our findings show that intraday interactions on the new EU markets are strongly determined by mature stock markets as well as the macroeconomic news originating thereby. We show that strong contemporaneous links across markets are present even after controlling for macroeconomic announcements. Finally, in terms of specific announcements, we are able to show the exact sources of macro news spillovers from the developed foreign markets to the three new EU markets under research.

Keywords: finance; intra-day data; macroeconomic news; European emerging stock markets; volatility (search for similar items in EconPapers)
JEL-codes: C52 F36 G15 P59 (search for similar items in EconPapers)
Pages: pages
Date: 2010-05-01
New Economics Papers: this item is included in nep-eec, nep-eur, nep-ifn, nep-mst and nep-tra
References: View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Related works:
Journal Article: Foreign News and Spillovers in Emerging European Stock Markets (2011)
Working Paper: Intraday Price Discovery in Emerging European Stock Markets (2009)
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