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Intraday Seasonalities and Macroeconomic News Announcements


  • Harju, Kari

    () (Swedish School of Economics and Business Administration)

  • Hussain, Mujahid

    () (Swedish School of Economics and Business Administration)


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.

Suggested Citation

  • Harju, Kari & Hussain, Mujahid, 2006. "Intraday Seasonalities and Macroeconomic News Announcements," Working Papers 512, Hanken School of Economics.
  • Handle: RePEc:hhb:hanken:0512

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    References listed on IDEAS

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    Cited by:

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

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    Macroeconomic surprises; intraday seasonality; Flexible Fourier Form; conditional mean; conditional volatility; information spillover;

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