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

Author

Listed:
  • 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.)

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.

Suggested Citation

  • Tomasz Schabek & Bojana Olgiæ Draženoviæ & Davor Mance, 2019. "Reaction of Zagreb Stock Exchange CROBEX Index to macroeconomic announcements within a high frequency time interval," Zbornik radova Ekonomskog fakulteta u Rijeci/Proceedings of Rijeka Faculty of Economics, University of Rijeka, Faculty of Economics and Business, vol. 37(2), pages 741-758.
    • Handle: RePEc:rfe:zbefri:v:37:y:2019:i:2:p:741-758
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    References listed on IDEAS

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    More about this item

    Keywords

    emerging markets; Croatian financial market; macroeconomic announcements; intraday returns; CROBEX;
    All these keywords.

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • F3 - International Economics - - International Finance
    • E5 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit
    • O2 - Economic Development, Innovation, Technological Change, and Growth - - Development Planning and Policy
    • P3 - Political Economy and Comparative Economic Systems - - Socialist Institutions and Their Transitions

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