Reaction of Zagreb Stock Exchange CROBEX Index to macroeconomic announcements within a high frequency time interval

Tomasz Schabek (), Bojana Olgiæ Draženoviæ () and Davor Mance ()
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Tomasz Schabek: University of Lodz, Faculty of Economics and Sociology, POW 3/5, 90-255 Lodz, Poland
Bojana Olgiæ Draženoviæ: University of Rijeka, Faculty of Economics and Business, I. Filipoviæa 4, 51000 Rijeka, Croatia.
Davor Mance: University of Rijeka, Faculty of Economics and Business, I. Filipoviæa 4, 51000 Rijeka, Croatia.

Zbornik radova Ekonomskog fakulteta u Rijeci/Proceedings of Rijeka Faculty of Economics, 2019, vol. 37, issue 2, 741-758

Abstract: The purpose of this study is to analyse Zagreb Stock Exchange CROBEX Index reactions to selected macroeconomic announcements within ultra-short time intervals. We utilize 5-minute rates of returns from September 2017 to March 2018 and 25 macroeconomic announcements. After carefully arranging the data, we ran the regression with dummy variables capturing the exact announcement times. We used heteroscedasticity and autocorrelation consistent (HAC) estimations in order to account for specific characteristics of intraday data and to retain the robustness of the results. Our results indicate that, for short intraday periods, some reactions are statistically significant, but the majority stays insignificant. These conclusions support the semi-strong form of the efficient-market hypothesis and are in line with inferences of similar studies of advanced economies.

Keywords: emerging markets; Croatian financial market; macroeconomic announcements; intraday returns; CROBEX (search for similar items in EconPapers)
JEL-codes: E5 F3 G1 O2 P3 (search for similar items in EconPapers)
Date: 2019
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Persistent link: https://EconPapers.repec.org/RePEc:rfe:zbefri:v:37:y:2019:i:2:p:741-758

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