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| Author: | Harju, K. Hussain, S.M. |
| Title: | Intraday seasonalities and macroeconomic news announcements |
| Journal: | European Financial Management
2011 : MAR, VOL. 17:2, p. 367-390 |
| Index terms: | stock markets macroeconomics volatility data analysis stock returns Europe USA |
| Freeterms: | conditional mean information spillover intraday seasonality Flexible Fourier Form |
| Language: | eng |
| Abstract: | Based on a data set consisting of more than five years of 5-minute intraday stock index returns for major European stock indices and the United States (U.S.) macroeconomic surprises, conditional means and volatility behaviour in European markets are explored. It is found that the opening of the U.S. stock market significantly raises the level of volatility in Europe, all markets responding in an identical fashion. U.S. macroeconomic surprises exert an immediate and major impact on both the European stock markets' intraday returns and volatilities as well as high frequency data appear to be critical for the identification of news impacting the markets. |
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