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Hanken School of Economics Working Papers, Hanken School of Economics

No 512:
Intraday Seasonalities and Macroeconomic News Announcements

Kari Harju () and Mujahid Hussain ()

Abstract: Using a data set consisting of three years of 5-minute intraday stock index returns for major European stock indices and U.S. macroeconomic surprises, the conditional mean and volatility behaviors in European market were investigated. The findings suggested that the opening of the U.S market significantly raised the level of volatility in Europe, and that all markets respond in an identical fashion. Furthermore, the U.S. macroeconomic surprises exerted an immediate and major impact on both European stock marketsí returns and volatilities. Thus, high frequency data appear to be critical for the identification of news that impacted the markets.

Keywords: Macroeconomic surprises; intraday seasonality; Flexible Fourier Form; conditional mean; conditional volatility; information spillover; (follow links to similar papers)

26 pages, September 13, 2006

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