Macroeconomic News Effects on the Stock Markets in Intraday Data

Barbara Będowska-Sójka

Central European Journal of Economic Modelling and Econometrics, 2013, vol. 5, issue 4, 249-269

Abstract: The aim of the paper is to compare reactions of two stock markets, the German and the French, to releases of macroeconomic fundamentals emanating from Germany and the U.S. We examine the reaction of intraday returns and volatility of the CAC40 and the DAX indices to macroeconomic surprises. We find that both American and German macroeconomic releases cause an immediate response in returns and volatility of the German and the French stock market sampled at a five-minute frequency. The reaction to the American macroeconomic surprises is stronger than to the German ones.

Keywords: intraday returns; macro surprises; news effect; periodicity; volatility (search for similar items in EconPapers)
JEL-codes: C13 C14 C22 G14 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:psc:journl:v:5:y:2013:i:4:p:249-269

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