文章基本信息

标题：Macroeconomic News Effects on the Stock Markets in Intraday Data
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作者：Barbara Będowska-Sójka
期刊名称：Central European Journal of Economic Modelling and Econometrics
印刷版ISSN：2080-0886
电子版ISSN：2080-119X
出版年度：2014
期号：1
页码：249-269
DOI：10.1002/for.1206.
语种：English
出版社：Polska Akademia Nauk
摘要：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.
关键词：intraday returns; macro surprises; news eﬀect; periodicity; volatility