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Intraday Seasonalities and Macroeconomic News Announcements

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  • Kari Harju
  • Syed Mujahid Hussain

Abstract

Using a data set consisting of more than five years of 5†minute intraday stock index returns for major European stock indices and US macroeconomic surprises, conditional means and volatility behaviour in European markets were investigated. The findings suggest that the opening of the US stock market significantly raises the level of volatility in Europe, all markets responding in an identical fashion. Furthermore, US macroeconomic surprises exert an immediate and major impact on both the European stock markets’ intraday returns and volatilities. Thus, high frequency data appear to be critical for the identification of news impacting the markets.

Suggested Citation

  • Kari Harju & Syed Mujahid Hussain, 2011. "Intraday Seasonalities and Macroeconomic News Announcements," European Financial Management, European Financial Management Association, vol. 17(2), pages 367-390, March.
    • Handle: RePEc:bla:eufman:v:17:y:2011:i:2:p:367-390
    DOI: 10.1111/j.1468-036X.2009.00512.x
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