Intraday CAC40, DAX and WIG20 returns when the American macro news is announced
We examine the reaction of the returns of CAC40, DAX and WIG20 to the periodically scheduled prominent American macroeconomic data announcements. We investigate returns and volatility dynamics at the time of news arrival as well as interdependence between series within the time of the announcements. The results suggest that the macro announcements from the U.S. market not only explain seasonality observed in these equity markets but also have a significant impact on both returns and volatility. However, the reactions to announcements are different with respect to the type of announcement. Application of dynamic conditional correlation models allows us to decompose the total impact of announcements into the reaction on the domestic market and conditional correlation between the markets.
Volume (Year): 41 (2010)
Issue (Month): 2 ()
|Note:||This work was financed from the Polish science budget resources in the years 2007–2010 as the research project NN 111 1256 33. Barbara Będowska-Sójka is grateful to participants of 2 conferences: FindEcon 2009 in Łódź and Dynamic Econometric Modelling 2009 in Toruń for helpful suggestions.|
|Contact details of provider:|| Postal: 00-919 Warszawa ul. Świętokrzyska 11/21|
Phone: (0-22) 653 10 00
Fax: (0-22) 620 85 18
Web page: http://www.bankikredyt.nbp.pl/menu_en.aspx
More information through EDIRC
References listed on IDEAS
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.:
- Engle, Robert F, 1998. "Macroeconomic Announcements and Volatility of Treasury Futures," University of California at San Diego, Economics Working Paper Series qt7rd4g3bk, Department of Economics, UC San Diego.
- Hanousek, Jan & Kocenda, Evzen & Kutan, Ali M., 2009.
"The reaction of asset prices to macroeconomic announcements in new EU markets: Evidence from intraday data,"
Journal of Financial Stability,
Elsevier, vol. 5(2), pages 199-219, June.
- Jan Hanousek & Evzen Kocenda & Ali M. Kutan, 2008. "The Reaction of Asset Prices to Macroeconomic Announcements in New EU Markets: Evidence from Intraday Data," CERGE-EI Working Papers wp349, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
- LAHAYE, Jérôme & LAURENT, Sébastien & NEELY, Christopher J., .
"Jumps, cojumps and macro announcements,"
CORE Discussion Papers RP
2413, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Engle, Robert, 2002. "Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(3), pages 339-50, July.
- Andersen, Torben G. & Bollerslev, Tim, 1997. "Intraday periodicity and volatility persistence in financial markets," Journal of Empirical Finance, Elsevier, vol. 4(2-3), pages 115-158, June.
- Black, Fischer, 1976. "The pricing of commodity contracts," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 167-179.
- Ederington, Louis H & Lee, Jae Ha, 1993. " How Markets Process Information: News Releases and Volatility," Journal of Finance, American Finance Association, vol. 48(4), pages 1161-91, September.
- Wood, Robert A & McInish, Thomas H & Ord, J Keith, 1985. " An Investigation of Transactions Data for NYSE Stocks," Journal of Finance, American Finance Association, vol. 40(3), pages 723-39, July.
When requesting a correction, please mention this item's handle: RePEc:nbp:nbpbik:v:41:y:2010:i:2:p:7-20. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Sylwia Roszkowska)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.