Macroeconomic Announcements and Volatility of Intraday WIG and DAX Returns

Barbara Będowska-Sójka

Chapter 4 in FindEcon Monograph Series: Advances in Financial Market Analysis, 2010, vol. 8, pp 57-68 from University of Lodz

Abstract: In Chapter 4, Będowska-Sójka studied US macroeconomic announcements and resulting volatility of intraday WIG and DAX returns. Regarding the news releases it has been found that volatility of both indexes increased after the announcements of macroeconomic data and this increase lasted at least 15 minutes. Moreover, the reaction to negative news was stronger than the reaction to positive ones.

Keywords: Macroeconomic announcements; Volatility of Intraday WIG and DAX Returns (search for similar items in EconPapers)
JEL-codes: C01 E02 F00 G00 (search for similar items in EconPapers)
Date: 2010
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Persistent link: https://EconPapers.repec.org/RePEc:ann:findec:book:y:2010:n:08:ch:04:mon

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