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Intraday Seasonalities and Macroeconomic News Announcements

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Author Info
Harju, Kari () (Swedish School of Economics and Business Administration)
Hussain, Mujahid () (Swedish School of Economics and Business Administration)
Abstract

Using a data set consisting of three years of 5-minute intraday stock index returns for major European stock indices and U.S. macroeconomic surprises, the conditional mean and volatility behaviors in European market were investigated. The findings suggested that the opening of the U.S market significantly raised the level of volatility in Europe, and that all markets respond in an identical fashion. Furthermore, the U.S. macroeconomic surprises exerted an immediate and major impact on both European stock markets’ returns and volatilities. Thus, high frequency data appear to be critical for the identification of news that impacted the markets.

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Publisher Info
Paper provided by Hanken School of Economics in its series Working Papers with number 512.

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Length: 26 pages
Date of creation: 13 Sep 2006
Date of revision:
Handle: RePEc:hhb:hanken:0512

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Related research
Keywords: Macroeconomic surprises; intraday seasonality; Flexible Fourier Form; conditional mean; conditional volatility; information spillover;

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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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    Other versions:
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Harju, Kari & Hussain, Syed Mujahid, 2006. "Intraday Linkages Across International Equity Markets," Working Papers 516, Hanken School of Economics. [Downloadable!]
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