Working Papers, Hanken School of Economics
Intraday Seasonalities and Macroeconomic News Announcements
() 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
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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