Intraday CAC40, DAX and WIG20 returns when the American macro news is announced

Barbara Będowska-Sójka

Bank i Kredyt, 2010, vol. 41, issue 2, 7-20

Abstract: We examine the reaction of the returns of CAC40, DAX and WIG20 to the periodically scheduled prominent American macroeconomic data announcements. We investigate returns and volatility dynamics at the time of news arrival as well as interdependence between series within the time of the announcements. The results suggest that the macro announcements from the U.S. market not only explain seasonality observed in these equity markets but also have a significant impact on both returns and volatility. However, the reactions to announcements are different with respect to the type of announcement. Application of dynamic conditional correlation models allows us to decompose the total impact of announcements into the reaction on the domestic market and conditional correlation between the markets.

Keywords: macroeconomic announcements; high-frequency data; volatility (search for similar items in EconPapers)
JEL-codes: C2 G3 (search for similar items in EconPapers)
Date: 2010
Note: This work was financed from the Polish science budget resources in the years 2007–2010 as the research project NN 111 1256 33. Barbara Będowska-Sójka is grateful to participants of 2 conferences: FindEcon 2009 in Łódź and Dynamic Econometric Modelling 2009 in Toruń for helpful suggestions.
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:nbp:nbpbik:v:41:y:2010:i:2:p:7-20

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