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The Impact of Macro News on Volatility of Stock Exchanges

Author

Listed:
  • Barbara Bedowska-Sojka

    (Poznan University of Economics)

Abstract

The vast of literature concerning the reaction to macroeconomic announcements focus on American releases and their impact on returns and volatility. We are interested if the news from the German and the Polish economy are significant for the stock exchanges in these two countries. Using high-frequency 5-minute returns from 2009-2010 we show that the periodical patterns of the German and the Polish main indices is very similar and their reaction to the macroeconomic announcements too. In both cases the domestic and neighbor-country announcements are much less important comparing to American releases.

Suggested Citation

  • Barbara Bedowska-Sojka, 2011. "The Impact of Macro News on Volatility of Stock Exchanges," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 11, pages 99-110.
  • Handle: RePEc:cpn:umkdem:v:11:y:2011:p:99-110
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    References listed on IDEAS

    as
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