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2013 | 5 | nr 4 | 249--269
Tytuł artykułu

Macroeconomic News Effects on the Stock Markets in Intraday Data

Treść / Zawartość
Warianty tytułu
Języki publikacji
EN
Abstrakty
EN
The aim of the paper is to compare reactions of two stock markets, the German and the French, to releases of macroeconomic fundamentals emanating from Germany and the U.S. We examine the reaction of intraday returns and volatility of the CAC40 and the DAX indices to macroeconomic surprises. We find that both American and German macroeconomic releases cause an immediate response in returns and volatility of the German and the French stock market sampled at a five-minute frequency. The reaction to the American macroeconomic surprises is stronger than to the German ones. (original abstract)
Rocznik
Tom
5
Numer
Strony
249--269
Opis fizyczny
Twórcy
  • Poznań University of Economics, Poland
Bibliografia
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Typ dokumentu
Bibliografia
Identyfikator YADDA
bwmeta1.element.ekon-element-000171262183

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