文章基本信息

标题：The Impact of Macro News on Volatility of Stock Exchanges
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作者：Barbara Będowska-Sójka ; Barbara Będowska-Sójka
期刊名称：Dynamic Econometric Models
印刷版ISSN：1234-3862
电子版ISSN：2450-7067
出版年度：2011
卷号：11
页码：99-110
DOI：10.12775/DEM.2011.007
语种：English
出版社：Nicolaus Copernicus University Press
摘要：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.
关键词：high frequency data; macroeconomic announcement; flexible Fourier form; intraday periodicity; volatility modeling