Vliv vnitrodenních makroekonomických zpráv na akciové trhy nových států EU

Effect of Intraday Information Flow on the Emerging European Stock Markets

Jan Hanousek and Evžen Kočenda

Politická ekonomie, 2010, vol. 2010, issue 4, 435-457

Abstract: We analyze effect of intraday information flow in three emerging EU stock markets-the Czech Republic, Hungary, and Poland. We use five-minute intraday data on stock market index returns and 15 types of EU and U.S. macroeconomic announcements during 2004-2007. We measure each announcement as its difference from market expectation. Mean and variance equations are jointly estimated. We bring evidence of strong spillovers from matured stock markets as well as effects of the macroeconomic news originating thereby. We find varying effects of the real economy news. Information on current account and prices has strong effect across all markets. We find limited evidence of the economic climate news and no evidence of the monetary announcements. Volatility of the returns is accounted for at the beginning and end of the trading session and it declines dramatically during the rest of the day. The three emerging markets react to information flow in a similar manner as matured markets.

Keywords: volatility; European Union; stock markets; intra-day data; macroeconomic news; excess impact of news (search for similar items in EconPapers)
JEL-codes: C52 F36 G15 P59 (search for similar items in EconPapers)
Date: 2010
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DOI: 10.18267/j.polek.740

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