Effects of scheduled versus unexpected news in intraday price movements : the evidence from new European stock markets
2009
Abstract
The goal of this paper is to study real time behavior on three emerging EU stock markets - in the Czech Republic, Hungary, and Poland - taking into account interactions with developed markets and the influence of macroeconomic news originating in the EU and in the U.S. We characterize the price discovery in these three emerging EU stock markets 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.