Intraday price discovery in emerging European stock markets

Abstract

We characterize the price discovery in three emerging EU stock markets - the Czech Republic, Hungary, and Poland - by employing high-frequency five-minute intraday data on stock market index returns and four classes of EU and U.S. macroeconomic announcements during 2004-2007. We account for the difference of each announcement from its market expectation and we jointly model the volatility of the returns accounting for intra-day movements and day-of-the-week effects.

Keywords

• price discovery
• stock markets
• intra-day data
• European Union
• macroeconomic news